Jack Wilshere scored both goals at the Emirates Stadium on Tuesday to leave Wenger’s side with 12 points from five games in Group F, but they are not yet assured of a berth in the last-16.
They need to avoid defeat at Napoli in their final group game to be sure of going through, although the qualifying permutations mean that they could still progress even if they lose at Stadio San Paolo on December 11.
"It's unbelievable [not to have qualified with 12 points], but it's the reality and we have to finish the job," said Wenger.
"It is not an easy situation. It's a tricky situation because you could think, 'OK, [the objective is] just not to lose big [to Napoli],' but I think that would be a mistake from ourselves.
"It is to put in our head to go there, play in a positive way and try to win the game, because everything else would be a dangerous gamble."
Borussia Dortmund coach Jurgen Klopp admitted he was relieved to be ‘back in the race’ for a last-16 berth after their 3-1 win over Napoli.
"Now we're back in the race," said Klopp, whose side broke a three-match losing streak including Saturday's 3-0 drubbing at home to Bayern Munich.
"We couldn't have done more to set things up for the last game.
"We knew that this would be a spectacular match, but I didn't expect to see so many chances and so much excitement on the pitch.”
Mourinho admits mistakes in Chelsea defeat
Chelsea manager Jose Mourinho accepted that he got his team selection badly wrong after his side were beaten 1-0 by Basel at the St Jakob-Park on Tuesday.
This means it is job done for Chelsea, who came to Switzerland with the aim of ensuring qualification with a game to spare in Group E, but Mourinho was unable to muster a smile after watching a substandard performance.
"We don't go through because we got a result, we go through because Schalke did not get a result, and for me it's not the same," said the Portuguese.
In other fixtures, Ajax gave their chances of qualifying for the last-16 a huge boost as they beat Barcelona 2-1 despite playing almost the entire second-half with 10 men.
Meanwhile, AC Milan kept their hopes alive with a 3-0 thrashing of Celtic that ended a miserable five-game winless run and sent the Scottish side crashing out of Europe.
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