The Frenchman has laid down the threat amidst intense speculation surrounding his own future.
Their best chance of qualifying for the Champions League next season rests with winning the Europa League. It'll be a tricky task achieving such a feat after they drew AC Milan in the last-16.
And the Islington Gazette claims that Wenger has emphatically told his players, in no uncertain terms, that if they don't qualify for the Champions League there will be wholesale changes in his squad.
Wenger has 18 months left to run on his current contract.