Arsenal have suffered last-16 defeats in each of the last six seasons, losing to Bayern in both 2013 and 2014, and another early exit would further ramp up the pressure on 67-year-old Wenger to quit after 20 years in charge.
The teams know each other well, having met six times in the last four years, and Bayern thrashed the Gunners 5-1 in Munich in their previous meeting in November 2015.
Arsenal warmed up for their trip to Germany with a 2-0 win over Hull as Alexis Sanchez scored both goals to stop the rot following back-to-back league defeats to Chelsea and Watford.
The Gunners are confident for the Allianz Arena leg with the return in London on March 7.
"If we put in our best performance, then we can beat Bayern as well," Arsenal's German defender Shkodran Mustafi told Sky.
"It's down to us and it's in our hands."
Arsenal beat Bayern 2-0 in Munich in 2013, but still lost the last-16 tie following a 3-1 defeat in the first leg in London as the Germans went on to win that year's final at Wembley.
"We have already won there and I feel we have a chance to go through," said Wenger.
Midfielder Mesut Ozil, another Germany international, is enduring a dip in form, though, and has not scored since early December.
"It's time for him to score again," said Wenger. "I felt he did not feel confident (against Hull).
"It's always a problem because you think he can deliver something special."
Arsenal are third in the English Premier League, 10 points behind leaders Chelsea, while Bayern are seven clear in Germany's top flight.
The Bavarians have reached the semi-final stage in Europe in each of the last three years, but Bayern are itching to go one better and reach the Cardiff final on June 3.
Despite their lead in the Bundesliga, Bayern have turned in below-par performances in recent weeks and needed two late goals to earn a 2-0 win at relegation-threatened Ingolstadt on Saturday.
Xabi Alonso suffered an injury scare in training on Monday, while Bayern will be missing defender Jerome Boateng and winger Franck Ribery, who are recovering from shoulder and thigh injuries respectively.
Germany forward Thomas Mueller is enduring a goal drought with just one goal in 17 league games this term, but Robert Lewandowski has hit 23 goals in all competitions and is relishing the Arsenal showdown.
"Everyone is waiting for this game and it'll be a big challenge for us," said Lewandowski.
"Arsenal have very good players, but we need to concentrate on ourselves and if we play our best football, Arsenal probably won't have many chances.
"We need to score at least once and concede nothing, then it'll be a good evening for us."