Wenger's side are competing in the Champions League for the 15th successive season, while their Group B rivals have far less experience of Europe's elite club competition.
Arsenal, who open their European campaign with a trip to Champions League newcomers Montpellier on September 18, avoided the likes of Italian champions Juventus and German champions Borussia Dortmund and Wenger knows they should progress to the last 16 as long as they stay focused.
"We will be favourites because we have the biggest experience in this group," Wenger told Arsenal Player.
"But every team is a special occasion, it's always a cup game and you want to be serious and have a good start.
"We start in Montpellier, which is a difficult place with a lot of passion.
"Certainly there will be a lot of psychological investment for them in this Champions League, so for us it is important of course to be highly focused.
"Schalke are always strong. They are the most popular team in the league with the biggest support. Germany is a football nation, so you have no easy games.
"Olympiakos have beaten us convincingly over there and we have underestimated them a little bit previously.
"At the Emirates they gave us a tough time. We just won last season, so we know that they are a good side."
Source: AFP
Source: AFP