The Gunners boss believes his side can win the title at Wembley and beat out fourth-place Everton in the hunt for Champions League soccer.
The Gunners sealed a spot in the final at Wembley, where they will face Steve Bruce's Hull City following a penalty shootout victory over Wigan on Saturday, and currently trail the Toffees by two points as the quest for Champions League football intensifies.
Wenger said: "Our fans were fantastic on Saturday even when it was bad. We want them to be behind the team.
"We can finish well this season. We can finish in the top four, we can win the FA Cup so it's down to how united we'll be until the end of the season and focused together."
Arsenal faces Hull at Wembley on May 17 a week after its Premier League season concludes with a trip to relegation-threatened Norwich City.