Arsenal ended a nine-year wait for a major trophy by beating Hull City in last season's final last May and with the likes of Chelsea, Manchester City and Tottenham having been knocked out in round four, the Londoners are well-fancied to retain their crown.
However, in Middlesbrough Arsenal face a side who are top of the Championship and brimming with confidence following six straight wins in all competitions and having gone 10 unbeaten.
Aitor Karanka's men have proved their ability to mix it with the big boys already after shocking Premier League champions City 2-0 at the Etihad Stadium last month, while they also took Liverpool to a penalty shootout in the League Cup last September.
Wenger is well aware of the threat posed by Middlesbrough, but believes playing on home soil could prove crucial in avoiding an upset.
"It's a big challenge but a big opportunity as well," Wenger said. "If we qualify we are in the quarter-final and that's, of course, a big excitement for us to focus. We have the luck of the draw to play at the Emirates, so let's take this opportunity.
"We are at home. We have a possibility to go to the quarter-finals, so we cannot be surprised by them, that's for sure. In the Championship, any team that plays at the top is a danger for any Premier League team.
"They suffered in the first half [against Manchester City] but they won the second half in a convincing way. They are well organised, play good football with good pace and they are very creative.
"You look at their recent record in the Championship and it's absolutely impressive. They're on a strong run and of course we want to stop that."
Arsenal, fifth in the Premier League, will be without Aaron Ramsey (hamstring), while forward Alexis Sanchez (knee) is also unlikely to start.
Karanka, who is aiming to take Middlesbrough to their first quarter-final since 2009, was assistant to Jose Mourinho during the Portuguese's tenure as Real Madrid head coach.
But the Spaniard does not intend on calling the Chelsea manager for advice ahead of the trip south.
"No [I will not contact Mourinho], because in the same way as against Manchester City, it's easy to analyse them. It's difficult to play against them, but it's easy to analyse," he said.
"It's going to be a massive game because everybody is expecting that we can beat them. Obviously we can beat them because we played very well against Liverpool and we beat Manchester City.
"But if we go there thinking it's going to be easy and we can beat them without playing our best, we could make a big, big mistake."
