"The only thing I will say is that we still want to win the game and respect the competition," he told Arsenal Player.
"We are Arsenal Football Club and we want to be respected for that. It doesn't put you under pressure to play players who are on the verge of being injured and therefore of course you can be a bit more cautious."
Arsenal are the first Premier League side to advance to the knockout stage of this season's Champions League but Wenger is in no doubt that his players have had to negotiate one of the toughest groups.
"We haven't lost a game up until now and I believe we had a very difficult group," he said.
"Dortmund are certainly the best side in Germany at the moment, Olympiacos and Marseille are not easy games and when you look at where we had to come from against Udinese [in the play-off], I feel we can be quite satisfied with the way we managed to get through."