The Gunners boss told assembled fans at the club's general meeting that staying in Europe's premiere club competition trumps the desire for domestic silverware.
Arsenal is currently enjoying its 15th consecutive Champions League campaign, but the Gunners have not won a trophy since an FA Cup triumph over Manchester United in 2005.
"For me there are five trophies: Premier League, Champions League, the third is to qualify for the Champions League, the fourth is the FA Cup and the fifth in the League Cup. A player does not want to know if you've won the League Cup."
The Frenchman also appealed for calm and renewed support from Arsenal fans after a poor recent run of form.
"I used to say to the players 'Our job is not to talk, but to produce performances,' so I am not very comfortable to speak to you," Wenger said. "I know there seems to be a lot of dissatisfaction, and I can understand, but it’s important we don’t go overboard. We hit a wall in the past two games in an unexplainable way, but this team can deliver. I am optimistic."
There is a common perception among Gunners fans and in the media that Wenger is denied the financial backing afforded to his Premier League rivals, but the Frenchman insists he is happy with the way the club is run.
"I never complained about resources," Wenger said. "I wouldn’t be proud to take my wages at the end of the month just because somebody puts a check in."