Arsenal goalkeeper Petr Cech, who won the 2012/13 Europa League with Chelsea, said the competition was a worthwhile target.
"We decided that it was the first time and hopefully the last time we played the Europa League and we wanted to win it," he said.
Arsenal's domestic rivals Manchester United won the trophy last year, giving them a route into this year's Champions League.
Wenger, whose Arsenal side lost the club's previous match in the competition to Galatasary in the 2000 final, when it was branded the Uefa Cup, is likely to rotate his squad, giving some of his fringe players game time as he negotiates a tricky Group H that also includes Red Star Belgrade and Belarusian outfit BATE Borisov.
Seven-time European champions AC Milan have an easier task, with ties against Austria Vienna, AEK Athens and Rijeka of Croatia in Group D as they continue their return to European competition for the first time since 2013-14.
The Italians, looking to win the only major European trophy that has so far eluded them, appear to be on the road to recovery under Chinese ownership after a number of lean years.
Smarting after a 4-1 Serie A defeat at Lazio at the weekend, they open their group-stage campaign at Austria Vienna after coming through two qualifying rounds.
"We are a new squad. It's my responsibility and the one of the boss and the management to lead this group to success," said captain Leonardo Bonucci, who joined the club from Juventus in the close season.
"We must stick together also when playing in Europa League," he told Milan TV. "It's a competition that many in the team have never played in before."
Wayne Rooney's Everton will have a stern test in Group E, which also includes French club Lyon, whose Groupama Stadium will host the final on May 16.
Other notable names in this year's group stage are Spanish sides Villarreal and Real Sociedad as well as Italy's Lazio.