The 62-year-old is hoping that an attacking style will help them gain an advantage in Italy, while Mikel Arteta is happy with his deeper role in midfield as well as his goal tally
The Premier League outfit finished top of their group in the competition, only losing once, but were drawn against arguably the strongest runners-up in the shape of the Italian giants, who finished second to Barcelona.
The Gunners will travel to San Siro in the first of the two clashes, and their boss has insisted that they need to score an away goal to have the best chance of progressing, adding that they will stick to their usual attacking style.
The Frenchman told reporters: "The European system is organised to reward audacious action away from home.
"When you go away in the Champions League, you have to score.
"The best way to score is play in an offensive way and we will try to do that."
Wenger's squad has been boosted by the return to match fitness of Bacary Sagna and Kieran Gibbs, giving some much-needed strength to the defence, and the 62-year-old is content with his options.
"I have plenty of options and I am happy with the way the defence works," Wenger added.
Summer signing Mikel Arteta is likely to be a key player in breaking down their opponent's attacks, and the midfielder is looking forward sitting deep and adding balance for his team.
He told Arsenal Player: "I watch the game from behind [the attackers] and I know that when we become too open we leave many spaces and concede goals.
"I just try to balance the team a little bit.
"Sometimes I would like to go forward more, but I've still had chances and the goal [against Blackburn] was my sixth this year, which isn't bad.
"I don't want to be the main man; we all know who the main man is and that's Robin. He is the leader, he is the one who makes a real difference.
"The most important thing is the team, and once the team is doing well the highlights will come for the rest [of the players] because we are playing well.
"Everyone is part of a machine and we are all just trying to make the machine work as well as we can."
The Gunners won 2-0 against AC Milan on their last trip to San Siro in 2008, while they also recorded a famous 5-1 victory over Inter at the same stadium in 2003.