Costa remained an unused substitute during the 1-1 draw at Emirates Stadium last week having just recovered from a hamstring injury.
The Spain international completed an hour before making way for match-winner Kevin Gameiro in Sunday's 1-0 LaLiga win at Alaves and is favourite to partner first-leg goalscorer Antoine Griezmann.
Costa scored three times against Arsenal in Chelsea colours and was generally a thorn in the Gunners' side on the field.
"In history he has shown he can make differences," Wenger said.
"It's our job to keep him quiet, maybe the best way is to not play in our half and in the half of Atletico Madrid.
"It will be a game where we know exactly what to do. Our way to behave is clear. That is an advantage sometimes."
Arsenal have lost all six of their away matches in the Premier League since the turn of the year but Wenger does not expect that dismal run to have any influence at the Wanda Metropolitano – pointing towards a European campaign that has seen them win at AC Milan.
"In the Premier League yes [away form is a concern], in Europe no," he said. "We have neglected a bit recently the Premier League away from home.
"This is a game you have to focus on your performance, that is all."
As the final prospect of silverware in his last season in charge of Arsenal lies on the line on Thursday, Wenger insists he will be entirely focused on the task at hand as speculation over his future plans continues to swirl.
"I don't know what I will do next season," he said. "At the moment I like to finish my job well.
"A man has to give his best as long as he is somewhere. I would like to walk out and think I focus only on Arsenal. I want to finish this love story well."