Bradford have already knocked out Premier League side Wigan in the fourth round and the Bantams have warmed up for the arrival of the Gunners with a five game unbeaten run.
Wenger is seeking a professional display from Arsenal as they pursue a record 15th appearance in the last four of the competition and he wants to avoid penalties against a side who have won eight successive shoot-outs.
"We have to win the game in normal time," said the Frenchman.
"They have gained confidence in these types of competitions and confidence plays a big part in that. Hopefully we won't need penalties.
"Bradford are a force in their league, they are a team who play very good football and very efficient as well.
"We take them very seriously. They are very efficient at set pieces, so we will have to be very strong on that."
Wenger is expecting a warm reception from the Bradford fans and has urged his players to keep their composure.
"Valley Parade was a difficult place to go to when we played there in the Premier League," he said.
"It is a passionate place with a very special atmosphere as well. That's what you will get again in this match.
"I believe when you go to places like this, you need to tell your players that it will be as difficult as a Premier League game, and it will be.
"Therefore you want to prepare yourself. If you don't do your mental work before the game, you have no chance and that is where our job lies."