Arsenal, adrift of the Premier League’s top four, will have to win the tournament to qualify for the Champions League while defeat would mean Wenger’s 22-year tenure ending on a dull note.
Atletico are favourites, having secured a 1-1 draw and a precious away goal from the first leg in London last week. Diego Simeone’s side have also not lost a La Liga game at home this season.
“I would like to finish my job well,” Wenger said on Wednesday. “I believe a man has to give his best as long as he is somewhere.
“With all my commitment and energy, I would like to walk out of Arsenal one day knowing that until the last day I focused only on Arsenal.
“When my job at Arsenal is finished I will see where I go from there but I want to finish this love story well.”
Despite his domestic achievements, Wenger has never won a European trophy with Arsenal but perhaps just as important will be the legacy he leaves his successor.
“The next game is always the most important and this one because it influences the future of my club,” Wenger said.
“It is a very, very big game for us because the future of Arsenal football club is not exactly the same if we qualify for the Champions League or not.”
Atletico avoided defeat at the Emirates Stadium despite having Sime Vrsaljko sent off early on while Diego Costa will also return from injury for the second leg.
“In history Costa has shown he can make the difference,” Wenger said. “He played in England and was very successful. It is our job to keep him quiet.”
Simeone will not be on the touchline at the Wanda Metropolitano after Atletico’s coach was sent to the stands last week.
“I believe every manager has his own personality,” Wenger said. “He is doing extremely well at what he does.”
Wenger confirmed David Ospina will continue in goal while Henrikh Mkhitaryan is hoping to overcome a knee problem.