Jack Wilshere scored both goals at the Emirates Stadium on Tuesday to leave Wenger’s side with 12 points from five games in Group F, but they are not yet assured of a berth in the last 16.
They need to avoid defeat at Napoli in their final group game to be sure of going through, although the qualifying permutations mean that they could still progress even if they lose at Stadio San Paolo on December 11.
“It’s unbelievable (not to have qualified with 12 points), but it’s the reality and we have to finish the job,” Wenger said.
“It is not an easy situation. It’s a tricky situation because you could think, ‘OK, (the objective is) just not to lose big (to Napoli),’ but I think that would be a mistake from ourselves.
“It is to put in our head to go there, play in a positive way and try to win the game, because everything else would be a dangerous gamble.”
Wilshere opened the scoring after only 27 seconds – the fastest goal in the Champions League this season – and completed his brace in the 65th minute when he converted a low cross from Mesut Ozil.
The England midfielder had previously scored only twice this season, and he said he was keen to add more goals to his repertoire.
Asked what his goals target for the campaign was, Wilshere told ITV: “At the start of the season I said 10 goals. I’ve never scored four in a season (before), so we’ll see. I’m feeling good at the moment.”
Wenger praised the coolness of Wilshere’s opening goal, which saw him cut inside a defender before curling a shot home, and suggested he should take inspiration from teammate Aaron Ramsey, who has already found the net 11 times for the Premier League leaders this term.
“I like his first goal, because before he rushed a little bit,” Wenger said.
“He’s starting to think, ‘What Ramsey can do, I can do as well.’ He’s calm in front of goal; especially the first goal shows that.”
Wenger was, however, critical of Ozil, who saw a 37th-minute penalty saved by Marseille goalkeeper Steve Mandanda following a truncated run-up.
“Everybody can miss a penalty, but I think his run on to the ball was a bit short. But it’s the way he takes them,” the Frenchman said.
He also expressed annoyance with midfielder Mathieu Flamini for cutting the sleeves on his shirt.
It is an Arsenal tradition that players take to the field wearing shirts with sleeves of the same length, and with Flamini’s teammates having all-sported long-sleeve shirts, Wenger pledged to speak to the French midfielder about the matter.
“I don’t like that and he will not do that again,” he said. “I was surprised and we don’t want that.”
With Marseille having already been eliminated, coach Elie Baup used the opportunity to give some of his younger players a taste of the Champions League.
Midfielders Mario Lemina, 20, and 21-year-old Giannelli Imbula both started the game and Baup said he hoped that they would learn from the experience.
“What I take from it is that for our squad, tonight (Tuesday) there were lots of young players who dipped their toes in this competition for the first or second time,” he said.
“We have to analyse all of that and show them how to progress from matches like tonight.
“There were lots of young players of 19 or 20 who have great talent, but who need to understand the demands of the high level in the Champions League.”