The Gunners boss admitted the mood in the camp had been somewhat "quiet" earlier this week following their 4-0 thrashing in the FA Cup tie at Manchester United.
"We want to continue to be guided by the way we play football more than having a reaction," said Wenger.
"Sometimes you forget how good you are when you have a big disappointment.
"Who wouldn't be hurt by a defeat like that? The players were hurt and disappointed as well.
"We want to be the best possible, but it was a bad day at the office and that can happen.
"This is such a big game, such a massive task, that we can forget about Saturday.
"Everybody is up for this game and focused on the way we want to play.
"It is the ultimate test for us, because we are in the position of challengers tomorrow.
"Milan are the Champions League holders. They have quality and experience.
"We are a team who can challenge them and can beat them - but we all know we need to be at our best to beat them."
Wenger declared: "What is important is that we play without the handbrake on and go into the match with desire.
"We have to play free of pressure and I believe we will do that.
"We can express our talents in a game of this magnitude. I believe we will do that."