The Gunners secured a Wembley date against either West Ham or Birmingham after they overcame a stubborn Ipswich 3-0 at the Emirates Stadium on Tuesday night, having lost the first leg 1-0 a fortnight ago.
It will be a first Wembley final since 1998 and the chance to end a six-season trophy drought, with the last piece of silverware being the FA Cup in 2005.
However, Wenger also maintains his squad should be confident of delivering in all competitions, with a home FA Cup fourth-round against Huddersfield this weekend and the small matter of a Champions League clash against Barcelona to come next month as they also mount a challenge for the Barclays Premier League title.
The Arsenal manager hopes once a first trophy is in the hands of captain Cesc Fabregas, more will follow.
"I get the same question every time, so I say 'we try to win everything we can', but on the other hand it can more get the pressure off the team to deliver in the other competitions," Wenger said.
"It is not the only target we have of the season, we have even bigger targets, but it can help us to achieve the other targets."
The Arsenal manager added: "What I am convinced is we will go with the same heart for everything.
"We have a chance to deliver, but it will be down to delivering the needed performance on the day. That is part of mental strength as well."
For more than an hour, Ipswich defended resolutely to frustrate the Gunners.
However, Nicklas Bendtner finally ended their resistance with a fine individual goal before Laurent Koscielny headed in a second and Fabregas made sure of the trip to Wembley late on.
Wenger said: "The players were really up for it and focused.
"We needed to be patient, calm and mature - and you have to credit Ipswich as they defended with great spirit.
"It means a lot for the team and they deserve to be rewarded for a fantastic attitude."
The Arsenal manager feels his team are on the cusp of turning potential into silverware.
"They are on a natural development process," he said.
"This team is hungry for success.
"You could see they kept going and refused to show any weakness."
Arsenal were almost handed another reason to celebrate as Blackpool had looked set to beat Premier League leaders Manchester United, only to lose 3-2.
Wenger, though, maintained: "For us it is the perfect night.
"Our season depends on our performances, our results and our consistency.
"We do not have to focus on Manchester United or anybody else.
"It is important we go from strength to strength - if we are capable to do that, then we have a chance."
One concern for the Gunners was a head injury to full-back Bacary Sagna, who was substituted during the first half after a clash of heads with keeper Wojciech Szczesny and was taken to hospital with concussion.
Nine thousand Ipswich fans had made the journey from Suffolk, perhaps more in hope than genuine expectation of a cup shock.
Town boss Paul Jewell paid tribute to the efforts of his players.
"We knew they would have all the ball and we would soak it up and make it difficult, but we have held them and also had that bit of luck," he said.
"For an hour we looked all right, however the manner of the goals were disappointing.
"But I cannot fault the players because their effort was outstanding.
"If we could have kept it at 2-0, then maybe in the last 15 minutes, then who knows? But it was not meant to be.
"We always knew we were going to be under the cosh here, but you have got to give the players credit because they were not disgraced over two games."
