The veteran coach believes his side need to use the pressure that comes with being expected to win to their advantage as they look to end their nine-year wait for a trophy
The Gunners are looking to end a nine-year trophy drought by winning the Cup for the first time since 2005 and after ending the season with five successive wins, they come into the game in excellent form.
Wenger acknowledged his side must not take the game for granted and hopes they use the pressure that comes with the favourites tag to their advantage.
"We have said it all," he told reporters. "We are favourites. Yes. Unfortunately that doesn't guarantee you anything. It just means do you produce on the day a top-level performance you have a good chance to win.
|17/2||Arsenal are 17/2 with Bet365 to beat Hull City 3-0 in the FA Cup final|
"Wigan in the semi-final was different. We were under pressure to finish fourth in the league, we were on a low point, to lose that would have created a huge disappointment.
"The pressure, you have to use it in a positive way. We would rather be here than not.
"So we're not going to complain of being in final and having the pressure because it's a chance and an opportunity for the team to end the season well. We shouldn't live it in a negative way."
Wenger defended his side's run of trophyless seasons by pointing out that they have more consistently qualified for the Champions League than any other side in the top flight.
This year's fourth-place finish means Arsenal have now secured at least a qualifying berth in Europe's elite club competition for 18 straight years.
"It has become a way to think for everybody like that," he added. "If you look at the overall consistency nobody else has finished in the Champions League places in England for 18 years.
"But it is true that because we used to win something every year, and then suddenly we don't win it becomes a way of thinking.
"But you could go to some other clubs, 'why did you not win the championship for 20 years?' Nobody asks them the question.
"It is not easy. Three weeks ago I was asked 'What would you like? To be in the Champions League or win the FA Cup?' I told you both. We have done the first one and now we can do the second one."