Yet that is the situation facing Arsenal ahead of its latest opportunity to end the trophy drought - an FA Cup final against Hull City at Wembley Stadium tomorrow.
The bookmakers have Arsenal as a huge favourite. The club has already planned its parade route through north London for Monday (NZT). Hull has never won a major trophy in its 110-year history.
But as last year's final - when Wigan shocked Manchester City - proved, nothing can be taken for granted in this competition.
Since that win over United on penalties nine years ago, Arsenal has contested the Champions League final in 2006 and reached the semifinals in '09, imploded when in a great position in a number of Premier League title races and lost the League Cup final to Birmingham in 2011 after a defensive mix-up two minutes from time.
The list of near misses goes on, but could soon be at an end if Arsenal handles the weight of expectation this time round.
"No matter what the result will be, this club - and this is always most important - can deal with the consequences of any game," Wenger said.
"You don't play with the history, you play with your quality and your desire to play well."
According to Wenger, Arsenal wins a virtual trophy each time it qualifies for the Champions League - something the team has done for the last 17 seasons.
If Arsenal's time without silverware is often described as a "drought," spare a thought for Hull.
The northern club's only trophy came in 1966 when it won England's third-tier title and its best run in a cup competition came back in 1930 when the team reached the FA Cup semifinals.
When it comes to sport, the port city was arguably better known for its two rugby league teams - Hull and Hull Kingston Rovers - until 2008, when Hull was promoted to the top tier of English football for the first time in its history.
"Nobody expects us to win it and obviously they haven't won a trophy in nine years and they've got their posters up in London about their parade next week and credit to them," Hull midfielder David Meyler said. "I'd rather be the underdog. People are delighted when the underdog wins - I don't think many people want Arsenal to win."
If Arsenal does go on to win a record-equaling 11th FA Cup, the team has done it the hard way this season.
The Gunners had to play fierce rival Tottenham as well as Liverpool and Everton before even the semifinals, when they came from a goal behind against Wigan with eight minutes left to eventually win on penalties.
Hull, conversely, has played only one fellow Premier League opponent en route to the final - Sunderland in the quarterfinals. Third-tier Sheffield United was the opposition for Hull in the semifinals, with Steve Bruce's team winning 5-3.
Arsenal has already done the double over Hull in the league with a 2-0 home win in December and a 3-0 away victory last month.
Out of contract this summer, Wenger says the outcome of Saturday's match will have no bearing on whether he decides to sign on for at least another year.
Arsenal chief executive Ivan Gazidis said in January that Wenger would be extending his stay at the club but the longer the Frenchman goes without putting pen to paper, the more concerned Arsenal fans will get.
Hull's Egyptian owner, Assem Allam, is so desperate to boost the club's marketing appeal abroad and attract investors that he has been campaigning this season to get the club's name changed from Hull City to Hull Tigers.
It hasn't gone down well with many fans and the English Football Association last month rejected his controversial bid for the name change.
It seems he has little chance of getting his wish in the future, so maybe the best way for Allam to see Hull's name beamed around the world and for the team to become more globally recognized is if it wins the FA Cup.