Arsenal are often described as a team that are better suited for winning the Champion's League than the Premier League. Ironic, considering we've won the Premiership a couple of times while we've only reached the Champions League final once.
In any case, there is logic to the argument, and to counter it, Arsenal changed their formation at the beginning of this season from the previously possession-oriented 4-4-2 to a more dynamic 4-3-3 formation.
It is often assumed that the change came about because of Barcelona's success with the latter formation during the 08/09 season, but one must not forget that during the same season we underwent a transition phase to 4-3-3 via a 4-2-3-1.
By transforming to 4-3-3, Arsenal use two wide men which helps to stretch play and improves the rate of chance creation, but simultaneously sacrifices the magnitude of possession we usually have in games. The loss of possession is where Arsenal's defensive pressing system came in.
Teams that defended in numbers now couldn't deal with Arsenal's pressing when the opposition team gained possession unless they committed men forward.. which lead to Arsenal's front three and Fabregas causing havoc in the opposition's defensive area.
That's how we were beaten by Manchester United and Chelsea, with these teams prepared to rely on five or six defensive players to simply defend while leaving the rest of their players ready to counter attack and bypass our defensive tactics.
In other words, Arsenal have not gotten results against teams that have played better than them this season.
That's great for the Premier League, where most teams are not expected to play as well as Arsenal, but we are not the best team in Europe (although this has to do with the instability in our starting line up due to injuries and slow recoveries more than skill) and if we are to win the extremely competitive Champion's League it does seem that we will have to play (perhaps much) better than our opponents each time we play.
Another issue is Arsenal's easy draw in the group stages.
The relatively easy progression was important for the sake of the Premier League, with Arsenal showing a level of consistency that was unmatched by most other teams, but it does leave a bad taste in the mouth to realise that we haven't had a solid away match in the Champion's League in ages, even against the three "easy" teams we got in the group stages this season (except for Olympiakos, but even that was a tight game until close to the end).
Last season, our last three away CL games were against Villareal, Roma, and Manchester United. Villareal ended 1-1 only because of a moment of brilliance by Adebayor, and we were beaten 1-0 by both Roma and Manchester United.
Wenger already knows all of this, and it'll be exciting to see if and how he tweaks our tactics.
In any case, the tougher the journey, the greater the satisfaction. See you on the other side!