The Gunners managed an impressive 2-0 win over PSG in the Champions League this week.
With Bukayo Saka and Kai Havertz getting the goals, Arsenal got their first win in their second group stage game.
The former AC Milan star said: “What is that missing link to take that next step? Belief is one thing, but saying it is one thing and doing it is another.
“I believe, in the second-half, they went back too much, too early. Those are the type of things you cannot permit in the Champions League.
“Today PSG were not at their best but against another team you can suffer and they might score goals against you and the whole plan changes. But I believe they are a contender.
“I believe that Arsenal want it. Of course they have it in their belly, but two years it was right there and didn't happen.
“So there has to be something that they need to tweak to get over that fear of winning. But I think they have the right coach. I'm sure they've learnt from the past.”