Wenger has won the FA Cup a record seven times since he took the helm at Arsenal but has twice been beaten in the final of the League Cup, by Chelsea in 2007 and Birmingham City in 2011.
Now he faces the daunting task of taking on Pep Guardiola's free-scoring team at Wembley, who will be desperate to bounce back and win a trophy after League One side Wigan dumped them out of the FA Cup, ending their bid for an unprecedented quadruple.
Wenger was asked at his pre-match press conference what was the key to beating City.
"To first of all have a strong belief that we can do it, be well-organised and take every opportunity to go forward and play our offensive game," he said.
He acknowledged the threat from players such as Sergio Aguero and Kevin De Bruyne but said it was difficult to focus on shutting down individuals.
"One of the big strengths of Man City is De Bruyne of course, because he has become a very complete player," Wenger said.
"He is a modern midfielder for me, he can be decisive in the final third, he works very hard, he is right-footed, left-footed and he is a fighter as well so overall I am not surprised he has done well.
"They have so many players that you have to stop that it is better to focus on the team plan rather than on any individual."
Wenger said he was more motivated than nervous after a long career studded with success.
"I have the advantage that I've played many finals and I know how big a day it is.... Wembley is always special because the stadium is divided in two," he said.
"It's a special day. No matter how many finals you've played in your life, it's always a special day.
"For us it's an opportunity. We'll play with all our regular players. We want to win it, we want our fans to go home happy."
Forward Alex Lacazette is unavailable because of injury and Henrikh Mkhitaryan is ineligible because he played in the competition for Manchester United earlier this season.
Wenger is likely to make a number of changes for the match after resting key men against Ostersunds in Thursday's Europa League match. Arsenal lost the game 2-1 but reached the last 16 4-2 on aggregate.
Wenger said David Ospina would play in goal, continuing his role as the go-to keeper for cup matches.
He said Mesut Ozil was likely to play and he would make a decision on Aaron Ramsey on Saturday....