However, this evening he is to break the habit of a lifetime by naming his strongest possible side for a Champions League fixture in which their fate is already sealed.
The final match of the group stage every season usually sees a smattering of young players and second-stringers getting rare starts, but tonight in the knockout phase he will let his biggest stars loose despite the end result hardly being in doubt.
The 4-0 defeat at the hands of AC Milan three weeks ago has all but done for Arsenal's chances of reaching the quarter-finals ahead of this evening's second leg at the Emirates Stadium. It was not just the scoreline, but the level of dominance of the Rossoneri over the Gunners at the San Siro that was so astonishing. Milan were so good and Arsenal were so poor that even Zlatan Ibrahimovic turned in a glowing performance against an English side, an event which, it is written, is a harbinger of the coming apocalypse.
That humbling in Milan was followed by an arguably worse result and performance in losing 2-0 at Sunderland in the FA Cup, but following the international break Arsenal have hit form again. Their 5-2 drubbing of Tottenham was followed by their late 2-1 victory at Liverpool last Saturday. It's almost enough to make a Gooner believe that they can do the impossible.
Taking his cue from former Arsenal goalkeeper Jens 'Mad Jens' Lehmann - who has bullishly tweeted "We need 4 goals,i bet we'll beat the 'fatigued old men' at Extra time. #YesWeCan #arsenalwins2day" — Wenger is not giving up the ghost.
"I said I don't live in a dream world - that means I know we have not created an easy situation, but when you are a top-level competitor, even if statistically we have a 5% chance, what is important is that we believe that we can be in this 5% chance," Wenger said in his pre-match pep rally yesterday.
"That is what is at stake for us - to show that we have the quality to believe we can do it, even if it is only 5%. Let us make sure that we do not miss out chance because we did not believe in it."
"If they can score four we can as well, why not? It is important that we believe we can do it. Your belief is stronger when your recent results have been good."
There are not many reasons for Wenger to be confident, but his team do have a couple of examples from which they can draw some belief.
In 2004, with Milan defending champions, Deportivo la Coruna stunned everyone by fighting back from a 4-1 first-leg deficit to win the second leg of their quarter-final 4-0 at home and progress. It has become a touchstone result whenever a team is facing a mountain to climb in a Champions League tie. The only problem for Arsenal is that, as much as they will try and take inspiration from it, avoiding a repeat of that fateful night at the Estadio Riazor should be an even stronger motivating factor for Milan.
The other example comes from the same season, when Arsenal travelled to Milan to face Internazionale in a key group-stage clash and came away as 5-1 winners, two months after losing 3-0 to the same opponents at Highbury. Yes, it was nine years ago, yes it was against a club which just happens to share the same ground as Milan and yes the same result tonight would still see them go out, but you have to take your positives where you find them.
The odds are severely stacked against Arsenal, to the point where the general feeling is a good performance that will help recover some dignity would be good enough, but Wenger won't stop believing.
He said: "I have a gut feeling the players can do it and my job until 7.45pm tonight is to convince them they can do it."
With hardly any fit midfielders, the Gunners have little choice but to go all out and attack. They may not be able to complete an incredible comeback, but it's going to be fun watching them try.
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Chelsea's media team made a grand effort yesterday with Operation Everything's Fine. Two feel-good stories came out of the club in order to deflect attention away from the fact they had sacked their manager after only eight months in charge.
Rangers pulled a similar trick last season when, after a defeat to Celtic, they held a press conference to announce that assistant manager Ally McCoist would be taking over from boss Walter Smith that summer, even though they had already confirmed it would happen weeks beforehand. It was a shrewd move from another big club that knows how to run itself properly. What's that you say? Ah...
Chelsea's two-pronged attack comprised the news that Ramires has signed a new contract at the club — although you would have to be a card-carrying member of the Blue Kenyan's fan club for that to make you forget about the club's flagging top four hopes — and that Eddie Newton had been brought in to join Roberto Di Matteo's coaching staff.
Newton worked as assistant to the man who is Chelsea's fourth caretaker manager in the last five years at MK Dons and West Brom. The ex-midfielder was Di Matteo's team-mate at Stamford Bridge during the 1990s, when each of them scored in the 1997 FA Cup final triumph over Middlesbrough. And people say that the Blues have no history pre-Abramovich.
"It was totally out of the blue. It's been a blur," Hammersmith-born Newton said after taking the call. "I am Chelsea through and through and we want that drive and will to win, and when we get that, it becomes a habit again."
Newton has barely had time to put the cones out around the training pitches of Cobham before he and Di Matteo face their first test, tonight's trip to Birmingham City for an FA Cup fifth-round replay.
The competition will provide the opportunity for a real fillip. Win at St Andrew's and they will be only three further victories away from securing a place in the Europa League. Do that, and they won't need to worry about their scrap for fifth place with Newcastle on the final day of the season.
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QUOTE OF THE DAY: "I would take it, of course. They already have a manager for the rest of the season and I guess that is a natural solution, because he has been in the club now for the whole season." — Sven-Goran Eriksson, having looked at the salary and pay-off that Andre Villas-Boas got for just eight months work, admits he would jump at the chance of taking the Chelsea job. Remember, he was courted by Roman Abramovich while he was England manager. Stranger things have happened.
FOREIGN VIEW: "I do not know if it is just coincidence but after it was revealed... that Park eats frogs as a means to boost his strength, the number of cases of illegal poaching of frogs and toads residing in mountains has increased." - Park Wan-Hee of lobby group Frog Friends appeals to Manchester United midfielder Park Ji-Sung, who said he used to drink juice made from boiled frogs to build his physique, to help it protect the amphibians from a surge in consumption. Frog Friends said that consumption of frog juice had surged since Park's 2006 autobiography in which he said he had drunk it as a tonic, and said they would lobby the international and Premier League star to join their campaign.
COMING UP: Plenty of fun and games this evening. Follow live coverage of the Champions League last-16 second legs — Arsenal v AC Milan and Benfica v Zenit St Petersburg — from 19:45. At the same time, there is also the full live treatment on Birmingham City v Chelsea in the FA Cup and a hefty program of Championship fixtures.
Before that, get revved up for the Arsenal game by reading Euroscout's report on Milan's talented Dutch midfielder Urby Emanuelson.