The boss has called for concentration ahead of the "massive game" at San Siro, adding that the legendary striker would have been a success without his influence on his career
The match looks set to be Thierry Henry's final appearance for the Gunners after it was confirmed that his loan spell from New York Red Bulls will not be extended.
Wenger told the club's official website: “For me, first I hope it will be a positive emotion [on Wednesday]. But what is important is that we focus on the night because it is a massive game for us. Let's hope we have positive emotions there.”
Henry made a dream return to Arsenal by netting the winning goal on his second debut for the club against Leeds United in the FA Cup third round.
The French striker has since gone on to score in the 7-1 demolition of Blackburn Rovers before coming on as a substitute to grab the winner against Sunderland on Saturday.
But Wenger, who has now managed Henry in three separate spells at two different clubs, says the player would have been a success without his impact on his career.
“He would have done it without me,” he added. “I think that great players have one great characteristic - they will always surprise you with how far they can go. The motivation inside them is very big and they never have enough.
“Everybody is different. Let's say with Thierry that I made him start in Monaco when he was 17.
“Then I brought him to Arsenal, then he went to Barcelona and then I brought him back to Arsenal so it is a little bit a three-times story, three chapters in the book.
“I think the history we have had together is special because you do not [usually] meet the same player three times.”