He said: "I don't deny we are young, but if you look across Europe, how many teams have lost only domestic championship game? Not many, so, for a young side, we are quite consistent.
"Ideally of course we should have scored the goal against Milan in the first leg, but I feel we delivered the game we wanted to deliver and there is no limit for us.
"When I spoke to [Marcel] Desailly after the game, he said, in their dressing room, they were absolutely amazed by our quality.
"Many teams have given AC Milan problems at the San Siro.
"We are conscious they will raise their level for the game, because that is the quality of this Milan team."
Wenger continued: "But if you look at what people said of us before the season, then we have already over achieved.
"Now no matter what we do, it will never be enough - but on the other hand, you want your team to go as far as they can.
"If you ask me, can we overcome this hurdle? Then I say yes. Let's go into the game with that mindset.
"I am confident and am very proud of what the team have done until now, but I am sure I will be prouder at the end of the season.
"I believe no matter what happens tomorrow, we still have a lot to go for."