Andrey Arshavin has announced this week they're capable of winning the Double.
"You do not have to confuse confidence with arrogance," Wenger said. "The confidence comes from that we are in this job to try to win, and I am very happy that the players believe they can do it.
"Usually, when you are guided by fear, you are scared to come out and say things, because you feel stupid if we don't do it. I want my players to have that confidence and to be honest about it. It means we want to go for it and will give absolutely everything.
"I prefer that than for somebody to say, 'maybe we are not strong enough to do it'."