The two London clubs have had contrasting fortunes so far this season.
Wenger's side were beaten 2-0 at home by Southampton in the quarter-finals on Tuesday, while West Ham also crashed out of the competition with a 4-1 thrashing at Manchester United.
But while they have that unhappy experience in common the two London clubs have had contrasting fortunes so far this season.
Arsenal have once again qualified from their Champions League group and are in contention to challenge for a first English title since 2004.
Slaven Bilic's Hammers, on the other hand, suffered an early Europa League exit and, in their first season with the London Stadium as their new home, have amassed just 12 points from their first 13 league fixtures to sit precariously above the relegation places.
Looking for a quick recovery, Wenger is confident Arsenal will banish the memory of their Cup disappointment, which ended their 19-game unbeaten run in all competitions.
"I don't think I can moan about the momentum in the Premier League," he said.
"I knew that in the League Cup that could happen, but it was more disappointing to lose the game than the run we have. We want to keep the run in the Premier League going now."
Arsenal will have to do without Santi Cazorla however as the Spain play-maker has been ruled out for three months by an ankle injury.
Cazorla was injured in October but instead of a November return that had initially been expected he will now fly to Sweden next week for surgery on his right leg
West Ham have had injury problems of their own with Andy Carroll missing since August with a knee injury and fellow forward Diafra Sakho ruled out for six weeks by a hamstring problem.
Carroll scored a hat-trick in West Ham's home match with Arsenal last season, which ended 3-3, and could return for the latest instalment.
Ashley Fletcher, the pre-season signing from Manchester United, started against his old club on Wednesday however and his goal will have boosted the 21-year-old's chances of keeping the shirt.
"It can only give me a lot of confidence getting my first goal for West Ham and I go into every game thinking I can score and now I have got my first one, hopefully many more will follow," Fletcher said.
"This is a massive London derby and every game in the Premier League is a tough game, but we know we can give Arsenal a good game.
"I will be hoping to start again on Saturday. The manager has got some tough decision as there is so much competition.
"I think Andy will be back on Saturday so it will be fierce competition for places in the striking role."