Arsenal, adrift of the Premier League's top four, will have to win the tournament to qualify for the Champions League while defeat would mean Wenger's 22-year tenure ending on a dull note.
Atletico are favourites, having secured a 1-1 draw and a precious away goal from the first leg in London last week. Diego Simeone's side have also not lost a La Liga game at home this season.
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"I would like to finish my job well," Wenger said on Wednesday. "I believe a man has to give his best as long as he is somewhere. With all my commitment and energy, I would like to walk out of Arsenal one day knowing that until the last day I focused only on Arsenal.”
"When my job at Arsenal is finished I will see where I go from there but I want to finish this love story well."
Despite his domestic achievements, Wenger has never won a European trophy with Arsenal but perhaps just as important will be the legacy he leaves his successor.
"The next game is always the most important and this one because it influences the future of my club," Wenger said.
"It is a very, very big game for us because the future of Arsenal football club is not exactly the same if we qualify for the Champions League or not."
Simeone, however, said there would be no room for sentiment when his players take to the field.
"We are not thinking about Wenger's last season at Arsenal, only about what we need," Simeone said.
"We need to see a full stadium, the excitement of our players, the energy in the team, that's what matters to us."
Atletico avoided defeat at the Emirates Stadium despite having Sime Vrsaljko sent off early on while Diego Costa will also return from injury for the second leg.
"In history Costa has shown he can make the difference," Wenger said. "He played in England and was very successful. It is our job to keep him quiet."
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Simeone will not be on the touchline at the Wanda Metropolitano after he was sent to the stands last week.
"I'll take it badly," Simeone said. "I'm sad about this situation and I'll have to improve. I better shut up."
Wenger confirmed David Ospina will continue in goal for Arsenal while Henrikh Mkhitaryan is hoping to overcome a knee problem.
For Atletico, Filipe Luis could feature after recovering remarkably quickly from a broken leg.
"Filipe has been out for two months, he's not playing 90 minutes, but if I call on him, he will respond," Simeone said. "Many games are played with the heart as well as the legs."
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