Arsenal won 2-0 against Marseille at Emirates Stadium in Group F on Tuesday night thanks to a goal in each half from England midfielder Jack Wilshere.
Wenger's side knew that a win would take them a significant step closer to the knockout stages of the competition, but the Arsenal manager insists his team will go in pursuit of all three points in their next game.
With 12 points already in the bank, the Gunners will secure their spot in the last 16 if they don't lose by three or more goals to Napoli in their final group game.
Speaking to Sky Sports after the game, Wenger said: "We should be fine but it is important that we show the desire in Naples to win the game. We must go with a positive attitude."
Wilshere was the hero on the night and Wenger is pleased with the midfielder's progress.
Wenger added: "He's coming back to a good level now and you could feel that he's started to score the goals as well. I like what I saw tonight.
"I would have liked us to have scored our second goal as quickly as possible but overall we did the job and maybe it was too comfortable for us.
"The positives are that we were strong and we didn't concede but we must remember that we haven't finished the job off and we have to do that in Naples."