Wenger was speaking following the draw for the first knockout round of the competition, which paired the Gunners with the reigning European champions.
The Frenchman said: "It's an interesting draw. I believe we can do it if we play at our best. It's a good target for us to get stronger for the match.
"It's an exciting draw. If you look at last season's results then it's the hardest draw because they are the champions.
"It's a big challenge, but if you ask me do we have a chance to knock them out, then I say yes.
"After what happened two seasons ago we have a job to do. We must do it the hard way, but we're not responsible for the draw.
"If you want to win the Champions League then you have to beat the biggest clubs. AC Milan are a very big team, world and European champions, but we can do it."
Meanwhile, Rossoneri coach Carlo Ancelotti is wary of the threat posed by the Gunners, saying: "They are one of the scariest sides in this draw.
"Arsenal have a very young team, full of promise and quality."
Source : Football.co.uk
