The Gunners have been paired against Bayern Munich in the first knockout round for the past two seasons, had to face AC Milan the year before that and Barcelona back in 2011.
All those ties came after Arsenal had finished second in their group and each time they crashed out.
Wenger has admitted his men will get little sympathy if they did the same in Group D this time round and landed another mighty opponent.
"It is always better you finish first because in some way you feel guilty if you don't," said Wenger.
"People think if you are punished you deserve it, because you finished second."
Arsenal can qualify for the knockout rounds tonight if they beat Anderlecht at home and Borussia Dortmund also secure a victory in Germany against Galatasaray.
Dortmund are red-hot favourites to finish first in the group after already beating the north Londoners 2-0 at home.
Wenger added: "I believe every win makes you strong and every defeat makes you weaker - so no matter what happens tomorrow we will try to play until the end."
Asked if he would gamble on shuffling his squad for later games, as he has in the past, he said: "I don't know, let's see.
"What is for sure, offensively, I have much more choice than the previous years, because top players like Joel Campbell are not even in the squad tomorrow.
"So I have more opportunities to be good going forward. At the back, at the moment, we cannot change too much."
Wenger also said he felt his team had sorted out their defensive issues, keeping clean sheets in their last two matches - wins against Burnley and Sunderland - after managing just one in the previous 10.
"Sometimes maybe we wanted too much to win games we didn't get our priorities right," said Wenger, who confirmed midfielder Jack Wilshere will miss the Anderlecht game due to a sickness bug.
"I believe it was more a question of patience, and a desire to win the game.
"The decisive game was Manchester City at home, when we were 2-1 up and conceded a goal at a corner because we were not focussed. From then on we had some doubts.
"To attack with freedom you need to also think, 'OK I can go,' and be sure you will be secure defensively.
"We had 17 clean sheets last year, and, until after Anderlecht, we couldn't find that defensive stability. Now we have found that."
ARSENAL (4-2-3-1): Szczesny; Chambers, Mertersacker, Monreal, Gibbs; Arteta, Flamini; Oxlade-Chamberlain, Sanchez, Cazoral; Welbeck.
ANDERLECHT (4-2-3-1): Proto; Vanden Borre, Mbemba, Deschacht, Achaempong; Kljestan, Tielemans; Conte, Praet, Najar; Cyriac.
REFEREE: Clement Turpin (France)
TV: Sky Sports 5, 7.45pm kick-off
