The North London club came tantalisingly close to pulling off an improbable comeback in their Champions League last 16 tie when they beat Bayern 2-0 in Germany in the second leg on Wednesday to go out on away goals after a 3-3 aggregate result.
The only thing left to salvage from an eighth successive trophyless season is a place in next season's Champions League but, sitting fifth in the Premier League, Arsenal have their work cut out to muscle their way into the top quartet.
"For us anyway every game now is a cup final," Wenger, whose side travel to ninth-placed Swansea City on Saturday, told a news conference.
"Swansea is always a difficult place to go and we need to repeat the game we had at Bayern Munich, it's as simple as that, again based on solidarity, fighting spirit and a bit win-at-all-costs."
With 47 points from 28 games, Arsenal trail fourth-placed Chelsea by five points and they need to watch their backs as sixth-placed Liverpool and seventh-placed Everton are two points behind them and harbouring their own Champions League dreams.
On paper, Arsenal's final 10 games of the season are favourable since the only side higher than them in the table they have left to play are leaders Manchester United but Wenger played down any advantage in that.
"You know as well as I do how difficult the Premier League is and it's not as mathematical as that unfortunately," he said.
"I always feel that we have the quality to be in the top four and 10 games is a long way to go but it's down to consistency.
"The away games of course will have a vital part in that in our final position of the season and tomorrow [against Swansea] is a big away game and therefore it's important to prepare for it."
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