Never before has the Frenchman competed in the competition in its current format and it is what makes the upcoming campaign one of mystery.
After 20 seasons in a row of finishing in the top four of the Premier League, Wenger is naturally determined to get back into the Champions League.
However, with England’s top flight arguably now stronger than ever, the Europa League provides another viable route of returning to the world’s premier club competition.
Winning the Europa League would guarantee Arsenal a spot in next year’s Champions League.
However, when assessing how easy it is to get back onto Europe’s top table when you have been shunted off it, Wenger admits he is unfamiliar waters.
“In my case, I don’t know because it’s the first time I’ve been in the Europa League,” he says.
“Look it’s very difficult at the moment to evaluate the real forces in the Premier League.
“It’s very open and it’s very difficult for me, like certainly for you, to predict exactly what will happen.”
However, one thing Wenger is certain of is his priority for this season.
With no Champions League football to contend with, the Gunners boss is determined to go all out in his quest for a first Premier League title since 2004.
It is a bold plan, certainly when you consider the number of teams who could realistically compete for the title this year.
Indeed, Wenger is of the belief that as many as eight teams could win the Premier League.
The Frenchman, though, wants Arsenal to be one of those fighting hard for glory as in his eyes the Premier League has overtaken the Champions League group stages in terms of prestige.
“For us it is a good opportunity to focus completely on the Premier League,” says Wenger.
“But anyway I would say that the Premier League has in my opinion taken over from the Champions League interest-wise.
“It happened in the group stage sometimes, we rested players in the group stage of the Champions League to prepare for the next Premier League game because every Premier League game is so difficult.
“I would have loved to play in it, but we have to deal with the reality that we are not in it.”
The reality of no Champions League football was felt at Manchester United last season.
Under José Mourinho, they were determined to get back to the big time and like teams in the past they made a dual assault on the Europa League and Premier League.
However, as is often the case, there came a point when United had to pick one.
Tottenham often found themselves in a similar predicament in the past, with Mauricio Pochettino, in the end, putting the Premier League first.
Elsewhere in Europe, teams like Sevilla have gone the other way and triumphed in the Europa League to get a spot in the Champions League.
When it came to Mourinho, from around March of last season he was already making noises that United were gunning for the Europa League instead of domestic success.
“The Europa League is very difficult but it’s a target for us,” he said back then.
“If we beat Rostov and we find ourselves in the quarter-final, then we have to think really seriously about the Europa League because in this moment we are still in the last 16.
“[With] the last 16 we are still far [away from the final] but when a team get into the last eight, and you go to the quarter-final draw, you smell the final.
“You smell the final and then in a certain period of the season I have to analyse my team, the players, the condition of everyone and I have to make choices.”
In the end, Mourinho’s hunch turned out to be right as Manchester United went on to win the Europa League by defeating Ajax in the final.
Understandably, the Portuguese manager has no regrets now.
“I am not upset [at finishing outside top four], because we had to make that decision,” he says.
“When people say we gambled, we didn’t gamble. We didn’t choose the Europa League – we had to do it!
“When I have 14 or 15 players, I can’t do it. It’s as simple as that. It’s not possible to do it every three days.”
Wenger is not a fan of the fact the Europa League winners get a spot in the Champions League.
“I still think it should be the league position,” he says.
“I always was not in favour of that, because I think at some stage it can influence on the championship.
“Because if a team is in April in a position where they have more chance to win the Europa League they can let some games go in the championship, and not completely focus on that competition.”
However, the Frenchman does also add: “If we do it through the Europa League, we will do it through the Europa League.”
And given the troubles at Arsenal this season, Wenger would be wise to not write off the Europa League.
The Gunners have made a slow start to the season and their problematic end to the transfer window suggests all is not well at the Emirates.
However, Europa League glory can change that.
The FA Cup has been Wenger’s saviour in the past and success in Europe this year would give the Frenchman a double boost.
He could deliver Champions League football and silverware all in one blow.
Wenger may be in unfamiliar territory this season, and he may not relish it, but just like Mourinho he should be ready to go all out for the Europa League if that turns out to be Arsenal’s path to glory.