The London club have not won a major honour since lifting the FA Cup nine years ago, but they are strong favourites to see off Premier League rivals Hull City at Wembley.
|12/1||Arsenal are 12/1 with Paddy Power to win the FA Cup on penalties|
"There's a huge desire to finish the job in the FA Cup. There is a positive pressure there," Wenger told reporters. "There's always a huge expectancy. We have played many games under that pressure this season.
"I don't feel there is any danger of complacency. We've had a hard FA Cup run. This is an opportunity for us to crown our season well. It will look better if we win it.
"A victory would make me very happy because our fans expect that and we want to make them happy."
Arsenal made hard work of seeing off Wigan Athletic in the semi-final at Wembley, as they were taken to a penalty shootout by the Championship side.
But they head into their final game of the season against Steve Bruce's side on the back of five consecutive Premier League wins and have not conceded in their last four matches.
He said: "There was nervousness in the semi-final because we had a low level of confidence at the time. We were also playing against a team who had beaten Man City and had some great results."
Wenger, who revealed there have been no developments over his future as he comes to the end of his contract, still has injury concerns over Alex Oxlade-Chamberlain (groin) and Thomas Vermaelen (knee).
Jack Wilshere (foot) came off the bench in the victory at Norwich City on Sunday and Wenger is pleased with the progress the England midfielder is making.