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 its group in the competition, only losing once, but was drawn against arguably the strongest runner-up in the shape of the Italian giant, which 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 European system is organized to reward audacious action away from home," the Frenchman told reporters. "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 defense, and the 62-year-old is content with his options.
"I have plenty of options and I am happy with the way the defense 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.
"I watch the game from behind [the attackers] and I know that when we become too open we leave many spaces and concede goals," he told Arsenal Player. "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 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.