Napoli and Borussia Dortmund make up Group F and Wenger believes all four have a chance of making it into a knockout stages.
"If you look at the group, I would say yes it is the hardest group because all the four teams have a chance to qualify," said the Arsenal boss.
"That means that every game is basically a very important one. On average you need 10 points to qualify so that gives you the task - 10 points in a group is difficult as that could be a reasonable number to get through.
"Away games will play a big part because it is difficult to predict that you will absolutely win your three home games.
"But anyway, you need points away from home and as you know, like in every competition, the start is very important for the confidence of the team and to put you in a good position so on Wednesday we start.
"Is it home or away? It is the same, basically, we come here and we will try to win the game."
Wenger says that Arsenal's chances of advancing out of the group - as they have done every season since 1999-2000 - hinge on the key players staying fit.
A lengthy injury list including Santi Cazorla, Alex Oxlade-Chamberlain and Lukas Podolski means teenagers Isaac Hayden and Chuba Akpom have had to travel as part of Arsenal's 18-man party.
"The situation of the other players is we had some small knocks but for Marseille they look okay," Wenger said.
"But of course I am concerned because from now they play for two months every three or four days and it's important we get some players back because you cannot play for the next two months with the squad we have at the moment."
In the meantime, though, Wenger is expecting a tough night on the south coast of France at the intimidating - if half finished - Stade Velodrome.
"There is a passionate home crowd here in this city and then the team of Marseille have a compact game," he said.
"They are very good defensively, they are very strong physically and have this experience of playing big games in their stadium.
"And then you cannot forget about their offensive players like Mathieu Valbuena, Andre-Pierre Gignac etc.
"People say that Dortmund and Napoli are our first opponents but I think that Marseille have their chances.
"A couple of year ago there was a similar group, it was Marseille and Arsenal who qualified. Nothing is played yet. They have an opportunity to qualify."
You can watch Marseille v Arsenal live on Sky Sports 4HD at 7.30pm