The Gunners failed to qualify for the Champions League last season after a disappointing year under Wenger.
Plenty of fans called for him to step down but he has since helped the Gunners move closer to the knockout stages of the Europa League.
Arsenal are currently fifth in the Premier League table but they could qualify for the Champions League by winning the Europa League, just like Manchester United did last season.
Other clubs have played down the importance of the Europa League but Wenger insists he will do all he can to win another trophy.
He told reporters: "I think we have a chance to win it, let's give it a chance.
"It's like the FA Cup, we go straight now to direct knockout so it's important we give it a go."