A Jack Wilshere strike and a Lukas Podolski stunner handed Arsenal all three points at Emirates Stadium, helping them secure their place in the last 16 and keep pace with Schalke at the top of the group.
Arsenal visit Greek club Olympiacos in their final group game, sitting one point behind Schalke on the table, and Wenger wants his men to go all out for victory in Greece.
“We will play the last game to finish top of the group,” Wenger said.
“When you look at some of the other groups you don’t know if first or second is better, but statistically it is always better to finish first and that’s what we want to do.
“Thirteen times in a row we have qualified for the last 16 – I’m very proud. It’s not as easy as it appears, because if you look across Europe not many teams do it.”