The two teams are set to meet in the Europa League, with Arsenal hoping to win the competition so they can be in the Champions League next season.
Wenger said the following on the issue during his pre-match press conference: "Honestly, nobody knows really what is going on. It looks more to be about diplomatic relations between UK and Russia. I just hope it will not affect both ties."
Arsenal even released a statement telling supporters about potential issues for the away leg:
"Supporters planning to go to CSKA Moscow should be aware of the following travel advice from the Foreign Office.
"Due to heightened political tensions between the UK and Russia, you should be aware of the possibility of anti-British sentiment or harassment at this time.
"You're advised to remain vigilant, avoid any protests or demonstrations and avoid commenting publicly on political developments.
"While the British Embassy in Moscow is not aware of any increased difficulties for British people travelling in Russia at this time, you should follow the security and political situation closely and keep up to date with this travel advice."