Wenger is hoping to end his side's nine-year wait for the FA Cup by lifting the trophy in May, having already dispatched the likes of Tottenham, Coventry and Liverpool.
"Well, we always take the competition seriously," he said.
"You are always aware that you can go out, but you also know that the first step in the competition is very important. You need a special focus to get really into the competition.
"Once you are in it, past the first game, you work to stay in it, but that first step can sometimes be the most dangerous one.
"I have been lucky enough to win it four times, but unfortunately we haven't won it for a long time now, so in fact I'm even more focused to do well in this competition.
"I would love the club to win the FA Cup again. Unfortunately sometimes the scheduling clashes with the Champions League.
"For example last season we had Blackburn at home in the FA Cup just before playing Bayern at home in the Champions League, so it was difficult to focus the attention completely on the Blackburn game.
"Hopefully we have learnt from that though, and this year we won't be distracted."
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