The Gunners make the trip to San Siro fresh from a 2-1 victory over Sunderland on Saturday, and Wenger has admitted the London side need to score a goal in Italy to take back to the Emirates.
“You always have to push for a goal when you play away in the first leg because it gives you a cushion for the second leg,” Wenger told the club’s website.
“We will try to score, of course – we always do. The system rewards the audacious away from home.
“The way it is with the away goal, you have to be focused to score and therefore it is important that you play your game.”
Arsenal became the first English side to beat Milan at the Stadio Giuseppe Meazza in 2008, when goals from Cesc Fàbregas and Emmanuel Adebayor secured victory, helping the Gunners move into the quarter-finals.
And Wenger wants his current side to take inspiration from that result and try to repeat the performance.
“I felt it was such a great night because we stayed faithful to our game and played without complexity,” he said.
“I remember that even Milan said the better team won. So let’s keep that in our memory and repeat the same performance.
“We have had quite a few good performances away in the Champions League over the years, and we are very proud of them. We won in Madrid in 2006, 5-1 at Inter Milan in 2003, and the 2-0 win against AC Milan in 2008.
“When you look back and remember, you realise that we have won at almost every big stadium in Europe. Yes, we have not won in Barcelona, where we have played a draw, but overall I think we have won everywhere.”
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