The Gunners were blown away by the Bundesliga leader in London with goals from Toni Kroos, Thomas Muller and Mario Mandzukic giving the Germans a commanding advantage for the return leg at the Allianz Arena on Wednesday.
Despite the unenviable task facing Wenger's side, he wants his team to pull together and make the "impossible possible" in order to progress to the quarterfinals of the illustrious competition.
"There have been a few wins by Arsenal in the Champions League that we are all very proud of. We just have to convince ourselves that we can do it in Munich as well," Wenger told the Arsenal Player. "Yes, the chance is small, but the chance makes the impossible possible. That would be a great credit for our team if we do it. We have to try to achieve it. Our mentality is to go there, not resigned, but ambitious and provoke things, not go there and think 'we will not qualify anyway.' No, not at all.
"We have to go there and give ourselves a chance to qualify with everybody believing we can do it. We have to behave on the football pitch like a team who wants to do it. That will be the task in the preparation."
While Bayern will provide a fearsome offensive threat with the likes of Mandzukic and Muller, Wenger hinted that he will set out his team to get goals from the opening whistle.
"How will we go into the game tactically? I haven't decided yet," Wenger said. "It will be with an ambitious plan, that is for sure. We have to try to put Bayern on the back foot; subconsciously anyway, they think they are through and we have to subconsciously think that we can do it. The only way to do it is to have a very positive attitude from the start."