The Gunners host the Olympiakos, who have won all of their five domestic fixtures in the Greek league, needing to recover from a disappointing opening Group F defeat away to Dinamo Zagreb, where striker Olivier Giroud was sent off.
With a double-header next against Bayern Munich, Wenger concedes Wednesday’s contest now leaves no margin for further error.
“You have to win your home games if you want to qualify from the group stage, it is simple as that,” he said. “We cannot afford to drop points now against anyone at home.”
Wenger added: “Olympiakos dominates their league, they are a team with a big advantage — they dominate their league easily, so they can prepare for these kinds of games.
“They are well organised and have some players who know the Premier League, like [Esteban] Cambiasso and [Pajtim] Kasami who both played in England.”
Arsenal host Premier League leaders Manchester United on Sunday, but that will not impact on Wenger’s team selection, although goalkeeper David Ospina could again be preferred to Petr Cech.
Wenger said: “We play on Tuesday night and then Manchester United on Sunday, five days is no problem. It is more about what happens before.
“Some players had two tough games at Tottenham and at Leicester where they were a high level physically. I will have to analyse that and make my decisions.”