The Gunners will play their London rivals in the Azerbaijani capital Baku on Wednesday in what will be their first European final in 13 years.
Victory against the Blues would provide a satisfying end to the Spaniard’s first season in charge at the Emirates, and crucially haul them into next season’s Champions League after the team finished a disappointing fifth in the Premier League.
And Emery is eager to build on the materials that were left by Wenger after he stepped down last summer after 22 years in the job.
“All [Wenger] did was amazing,” said Emery. “My respect is more than the top. After he gave this team and club a lot of important things, a new culture.
“I want to hold that and improve things. We spoke when I arrived here to give Arsenal some things: to be competitive in all situations. I learned a lot from Arsene Wenger as a coach and I respect him a lot.
“I want to help Arsenal, to help this team, to achieve all the possibilities in our way. One is this European title, also continuing improving in our way to achieve the best position in the football world for Arsenal.
“Arsenal in the past, present and future will be in the 10 best teams in the world. Our objective is to achieve that.”
Arsenal haven’t made it to the last two of a European competition since they faced Barcelona in the Champions League final in 2006, losing 2-1 despite having led for much of the game.
They last played in the final of Europe’s secondary tournament in 2000, when they were beaten on penalties by Turkish side Galatasaray following a goalless draw.
“I am not thinking only for me,” said Emery. “I want to do something important here, for example to play this title [the Europa League]. We deserved to play and did a good way in this competition.
“After our target started with two ways, one is in the Europa League and the second in the Premier League, to go to the Champions League. That's our first objective and then to play for the titles.
“We are going to do two objectives tomorrow, to win a title and go to the Champions League. Above all it is about enjoying and play with all our good spirits. This competition is improving a lot, big teams are playing.”