The Champions League's complicated count-back rules mean Arsenal will qualify with a draw, even if CSKA win in Hamburg and they, Porto and the Germans finish on 11 points.
Arsenal are desperate to qualify for the knock-out stages and Wenger said: "Of course it will be a blow to us if we went out."
Wenger believes that this season's group has been a sterner test to that of last season where Arsenal had already progressed heading into the final match.
"Last year we were in with Thun and Sparta Prague. It was much easier than this year.
"Look now at our group. CSKA Moscow, who were top of our group, are suddenly in a position where they might not qualify. And it is always difficult to beat the Portuguese sides.
"Even Hamburg, who are bottom. It is hard when you play against a German team. Look at Werder Bremen, they are doing well in the group of Chelsea. So I have always felt our group would be very tight."