Wenger spent seven years at the principality club in the late 1980s and early 1990s, guiding them to Ligue 1 glory in 1988 and the Coupe de France crown three years later.
A move to Japan with Nagoya Grampus Eight followed, before Wenger really established his name with a switch to Arsenal, where he has remained manager since 1996.
The two sides meet at the Emirates Stadium on Wednesday for the first leg of the tie, and Wenger is expecting a difficult encounter against the 2004 runners-up.
"We have had 17 consecutive seasons in this competition. 'Easy' is a word you need to ban in the Champions League," he said.
"They are a disciplined team who are very strong in defence, well organised and dangerous on the break.
"They are a defensively well balanced team who are efficient. They won 11 points in the group stage. It will be tough.
"It's interesting. I'm happy Monaco are back at the top level but now I'm focused on the game.
"We can be confident because we've won our games. We have the right commitment and spirit but these are hard games.
"I love pressure because there's lots at stake and those are the ones you want to be involved with as a manager and a player."
Arsenal have exited at this stage in each of the last four seasons - twice to Bayern Munich, once to Barcelona and once to Milan.
"We have gone out in the last four years at this stage, two times to the winner," Wenger added.
"We have gone out, yes, but what we want, we want to stay in.
"In the last four years, we came out frustrated, each time. We have learned from that."
Wenger has doubts over the fitness of Jack Wilshere, who was rested in training on Tuesday, although the Frenchman insisted that was not the result of a setback.
