The Gunners limped to a 3-1 defeat at the hands of the Bundesliga table-toppers, but the Frenchman insists his side have not given up turning around the tie in Munich.
He told Sky Sports: "Let's not hide the truth, it will be very difficult, but we will try to make the impossible possible.
"We will have to go there and play completely like we play at home and try to change the score. The third goal makes it very difficult but we have to try.
"Our fans were fantastic tonight and I'm very disappointed that we couldn't give them the win they wanted.
"It was of course not the best of preparation mentally because the environment of the team was very difficult before the game tonight, but the players battled very hard, gave absolutely everything."
|THE IMPOSSIBLE DREAM|
|40/1||Arsenal are 40/1 with Paddy Power to qualify for the next round of the Champions League|
But Mario Mandzukic bundled a third goal home and Wenger believes the Croatian's strike could have a deep-lying effect on his team.
He added: "I believe the 3-1, the third goal, was a mental blow for the team because we gave a lot to comeback to 2-2, but at that level it’s difficult if you’re 2-0 down."