Arsenal host the Russia side on Thursday night in the first leg of the last-eight tie knowing that winning the competition would ensure they qualify for the Champions League next season.
The Gunners have fallen off the pace in the race for the top four in the Premier League as they are currently sixth, 13 points adrift of fourth-placed Tottenham.
In his pre-match press conference for the Europa League match, Wenger said:
‘There is some extra pressure on us to do extremely well in this competition but that’s part of being where we are.
‘It’s an opportunity we want to take.
‘We don’t live in dreamland. We are in the quarter-final and have to go step by step.’
Arsenal recorded a 3-0 home victory against Stoke last Sunday but there were some empty seats at the Emirates.
The attendance was 59,371 with the full capacity being 59,867.
In the Gunners’ previous home league game against Watford on March 11, the attendance was also lower at 59,131.
However Wenger knows he can rely on the Arsenal supporters on Thursday.
‘I’m not worried,’ he said.
‘The crowd, when something is at stake, is always there and always behind us.
‘What will decide the attitude of the crowd is the quality of our game.’
Wenger has a full-strength squad to choose from as he revealed Alexandre Lacezette ‘is ready to start’.
He said: ‘I have not decided will he start but he is available and ready to start.’
Goalkeeper Petr Cech trained on Wednesday morning but Wenger has not decided who will start out of him or David Ospina.