Thousands of Arsenal fans who are hungry for a first trophy since the 2005 FA Cup - won on penalties - and unsated by last season's narrow near miss in the Champions League final, wish Wenger would choose to line-up his biggest guns against the two-time Premiership champions.
But Wenger said: "You must understand that this team is the work of four or five years. To destroy it now I think would be crazy.
"It wouldn't make sense to suddenly put four or five big names in front of young players whom we have developed for three, four or five years.
"I would say to the guy who wanted to give me £100million to keep it and invest it in something else.
"I am told Chelsea want to develop their own youth players but I think it would be a conflict of policies for them to do that.
"It takes four or five years to get to the level we have with our young players and I think that would be very hard for Chelsea.
"Once you have a lot of money, and spend it, you are always under pressure to buy."
Wenger is expected to supplement his young team with the experience of midfielder Gilberto and centre-back Kolo Toure.
And he may even give £7million Tomas Rosicky his Carling Cup debut at Cardiff. But skipper Henry can expect a place on the bench - at best.
And with Spanish ace Cesc Fabregas, 19, needing a rest, the main burden of Arsenal's final effort could rest on the shoulders of novices like Brazilian midfielder Denilson, 19 last Friday, Johan Djourou, 20 - and 17-year-olds Theo Walcott and Armand Traore.
Julio Baptista's four goals in the quarter-final at Liverpool and two at Tottenham in the semi-finals does not guarantee him a starting place as Wenger has high hopes of a future partnership between Emmanuel Adebayor and Frenchman Jeremie Aliadiere.
Meanwhile, Denilson, who has started every tie in the Carling Cup and took his tally of first-team appearances to nine in the cauldron of last week's FA Cup replay at Bolton, is unfazed by the prospect of the final.
The super-confident midfielder who lives alone in London after arriving from Sao Paulo in the summer in a £3 million move from Sao Paulo, said: "It was a dream for me but now it is reality and I feel no pressure at all.
"I came here because it looked a wonderful apprenticeship but also wanting to challenge for a first-team place, never even considering I would have to wait around for it too long."
Denilson has figured as a substitute three times already in the Premiership and said: "I know that if I work hard I will get more chances in the team. I want to play regularly in the Premiership and believe I can.
"A 70,000 crowd ? I have played in front of 80,000 at Sao Paulo a few times - once against Liverpool in the Inter-Continental Cup. So I don't think there will be any problem with nerves."
Wenger said: "I first saw him when I went to Brazil to watch another player who I did not buy in the end and I thought he would be a great asset for the future.
"But he has surprised me how quickly he has adapted after seeming to struggle a bit early on. He has adapted quickly, shown how dedicated he is to his job. He's a fighter on the pitch.
"Several of the young players have come on much quicker than I thought they would and on Sunday they have another big step to take.
"What is important is that if they do that we can never consider them as just young players any more.
"They will be ready to fight for regular positions in the team and that will give me a nice headache."