The Gunners have nevertheless made a superb start to the new campaign.
Wenger's young side sit top of the Premier League table with four wins and a draw from their five matches.
"We have started well, which was very important for a young team. Now we want to confirm that in the Champions League.
"But it is not a guarantee that because you are doing well in your own league that you can win the Champions League.
"We know that we can win football games. That is always important for your confidence.
"Overall, you should get out of the group stage, and after that it is a cup competition, and then it is down to the injuries you have at the moment you play the direct knockout."
Wenger added: "It is important to start well, especially against a strong opponent, that you do not drop points.
"We know that it is vital to win the home games."
The Arsenal manager, however, insisted now was not the time to be talking of making a direct choice between the domestic title and Champions League glory.
Wenger quipped: "That is like asking me 'would you like me to cut your right arm or your left arm?' I would always say I would like to keep both!
"It is difficult. You cannot choose in September - you choose, if you have to, in April."