Arsenal go to French giants Marseille on Wednesday night and Wenger says they can take confidence from last season's last 16 trip to Bayern and won 2-0.
Olivier Giroud and Laurent Koscielny gave Arsenal a 2-0 triumph but their 3-1 defeat in the home leg saw Wenger's side knocked out by the eventual champions on away goals.
That win was the first of nine successive away victories and Wenger is hoping the run continues ahead of their opening group game away at Marseille.
"What happened that night is that we were in a position where we were expected to be hammered and everyone predicted a six or seven-nil," Wenger told Arsenal Player.
"We had nothing to lose, we decided to go for it and realised after the game we were very close to knocking them out.
"Overall, I believe even last season we had a decent away record and from that moment you think, 'If we can go to Munich and win, why not anywhere else?'"
One player likely to be involved against Marseille is Thomas Vermaelen, who endured a difficult last season and did not feature in the win over Bayern.
He made his first appearance of this campaign as a substitute at Sunderland on Saturday and Wenger is pleased he can call upon the Belgian defender again.
The Arsenal boss added: "It is fantastic to have him back, as a character and a player. Everyone is happy that he is back.
"He has gone through a difficult period but he is a great player, and will show that now that he is completely fit and available."