Wenger: Arsenal will tear into Roma
"What is very important for us is to focus on scoring and going forward because they are a team who are very good going forward," Wenger, whose side won the first leg in London 1-0, told UEFA's website on Tuesday.
"If we allow them to spend 90 percent of their time doing what they like to do, we expose ourselves. So let's go there and focus on dictating our game. I think it's part of the personality of a team and let's show that."
Wenger said Sunday's 3-0 victory over Burnley in the FA Cup and last week's 3-1 league win at West Bromwich Albion had restored his side's confidence after a run of five Premier League draws, four of which were goalless.
He also paid tribute to Croatian forward Eduardo da Silva, who scored a remarkable volley against Burnley for his third goal in his second game since missing almost a year with a broken leg.
"It's fantastic the way Eduardo has played. We were very concerned when we saw his injury and when you see what he is doing now, it's nearly a miracle," said Wenger.