British bookmakers William Hill made the premier league leaders the 5-2 favourites for Europe's most coveted prize after they effortlessly clocked up a 5-2 aggregate win over the Spaniards in the first knockout round.
"I wouldn't put us as super-favourites tonight to win the Champions League," Wenger told a news conference at Highbury.
"You have AC Milan in there and Real Madrid. Just look at the (trophy) cupboard of Real Madrid and Milan and you become humble again, considering European Cups. Real Madrid have nine, Milan (six)....and us none."
"The team wants to give it their best shot, to try to go as far as we can," the Frenchman said, before adding: "We really don't know how far we can go."
Two first-half goals from France's Thierry Henry sealed Arsenal's latest win in a campaign that has become ever more polished since starting dismally with two defeats and a draw in the group stage.
"We've seen some great movements in the game," Wenger said. "Maybe it was not an emotionally strong night because you always felt we were quite secure."
"But there were some moments of good football and for us the most important thing is that after having lost at the start of the season we've now won five on the trot in the Champions League."
"That is fantastic for us because I don't know how many games we went without a win last year."
Celta coach Radomir Antic, who lost Silvinho and Peter Luccin to injury, said: "You have to recognise that were playing against team with quality in every area. Physically and technically, Arsenal are a very balanced team and they play with a lot of confidence."
"We started off with good intentions, but two injuries for us was too many."
Disagreeing on one point with Wenger, he said: "For me, Arsenal are one of the biggest favorites to win the Champions League this year."
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