The Gunners go into the game at the Liberty Stadium attempting to bounce back from their Champions League exit to Bayern Munich on Wednesday.
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However, Wenger believes it is an important game for his side and has called on Arsenal to finish the season strongly.
"We must win at all costs. The top priority is to be in the Champions League," Wenger told reporters.
"It's our main focus. I believe we have the quality to be in the top four. It's about consistency now."
Arsenal travel to the Liberty Stadium having lost 3-2 in the Premier League there last season, and having been held 2-2 in the FA Cup this campaign.
While the Frenchman admits it is a tough fixture, he is hoping a repeat performance from midweek will give his side a much-needed victory.
He added: "It's a difficult place to go and we'll need to repeat the game we had at Bayern Munich."