The Gunners, who have not appeared in Europe's secondary competition in 17 years, get their campaign started with a home match against the Bundesliga's bottom club.
With a potentially crucial Premier League clash with Chelsea to come at Stamford Bridge on Sunday, Wenger is likely to rest some of his men.
He has already confirmed midfielders Mesut Ozil and Aaron Ramsey will not be considered while Francis Coquelin has been ruled out through injury.
"Overall the injury situation is not too bad," Wenger said. "On the injury front we have no big problems, a few players have some response to the fact they played two international games like Ozil and Ramsey, who are rested completely."
The likes of Petr Cech, Laurent Koscielny, Alexandre Lacazette, Danny Welbeck and Granit Xhaka all missed training on Wednesday, which could be an indication that they will also be rested for Thursday's match, although Wenger refused to give anything else away regarding his team selection.
"I don't give the team out today, I will give it out on Thursday," the Frenchman added.
The Gunners bounced back from consecutive league defeats by beating Bournemouth 3-0 last time out and they will fancy their chances of seeing off a Cologne side with no points and just one goal in the Bundesliga to date this season.
The two teams have never met in a competitive match although the Gunners did win a pre-season meeting five years ago and punters may use their free bet to back Wenger's men to secure another victory on Thursday.