The north London outfit host Atletico Madrid in the first leg of their semi-final in a week's time with the winner of the May 16 final in Lyon gaining automatic entry into the Champions League.
"The Europa League is the priority as in the Premier League we go for not a lot. For us it is the biggest priority now," Wenger told a news conference.
"This weekend is preparation for (next) Thursday. I rested some players after the CSKA Moscow (semi-final second leg) match, and they will need a game. It is not so much rest, but preparation.
"It is important that now we have a big opponent to beat them. Atletico are the favourites for the competition. But at our best, we can beat them."
Arsenal playmaker Henrikh Mkhitaryan, who is on the mend from a knee injury, has been ruled out of the West Ham clash while midfielder Jack Wilshere's participation is also in doubt.
"We have some uncertainty about Jack Wilshere, Henrikh Mkhitaryan is not back. (Goalkeeper) David Ospina is available again," Wenger added.
"Aaron Ramsey has not participated in full training but is practising in non-contact. He will be available for Sunday."
West Ham are 14th in the table, seven points above the relegation zone.
Arsenal are two points ahead of seventh-placed Burnley after last weekend's loss to Newcastle United and another defeat could see Wenger's side slip behind their Lancashire rivals.
A seventh-place finish would leave Arsenal tackling a congested pre-season fixture list comprised of Europa League qualifiers and International Champions Cup friendly matches with Wenger keen to avoid that situation.
"Of course we want to finish in front of Burnley. There are still some important games in the Premiership and we want to finish on a high," Wenger said.
(Reporting by Aditi Prakash in Bengaluru)
