The Gunners host the Greek giant in the second round of Champions League group stage games at the Emirates Stadium and require victory to stay in the qualification hunt following their opening fixture loss to Dinamo Zagreb a fortnight ago.
Of the importance of a positive result, Wenger said: "You have to win your home games if you want to qualify from the group stage, it's as simple as that.
"We cannot afford to drop points now against anyone at home.
"Olympiakos dominate their league, they are a team with a big advantage - they dominate their league easily, so they can prepare for these kinds of games.
"They are well organised and have some players who know the Premier League, like [Esteban] Cambiasso and [Pajtim] Kasami, who both played in England."