The Gunners travel to Valley Parade on Tuesday seeking a record 15th appearance in the last four of the competition.
Wenger is keen to avoid the sloppiness of the team display in the last round where they had to come back from four-goals down to beat Reading 7-5.
"We have to win the game in normal time. They have gained confidence in these types of competitions and confidence plays a big part in that. Hopefully we won't need penalties," Wenger said.
"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.
"Valley Parade was a difficult place to go to when we played there in the Premier League. It is a passionate place with a very special atmosphere as well. That's what you will get again in this match."