The Gunners go into the decisive tie at Emirates Stadium trailing 2-1 on aggregate to their Portuguese opponents, following Radamel Falcao's controverial winner from a quick free-kick at the Estadio do Dragao on February 17.
Arsenal advanced to the quarter-final stage of last season's competition after defeating Roma on spot-kicks at the Stadio Olimpico, after both teams triumphed 1-0 in their respective home legs.
A 2-1 win for the Gunners after 90 minutes on Tuesday night would ensure extra time and possibly another penalty shootout.
However, Wenger said he did not let his players practice shooting from 12 yards during Monday's training session, as missing in training the day before the match can have a negative impact should the contest actually go to penalties.
"Anything which helps us qualify is good,” he said in his pre-match press conference.
“We always practice penalties in training but not the day before a game because it can have negative influences if you miss.
"However let’s see the game in a positive way. We hope we will qualify without penalties.”
