The Gunners are desperate to win a big trophy - either the Premier League or Champions League.
However, they have been unable to hit that mark since manager Mikel Arteta’s first season in charge - nearly five years ago - when they won the FA Cup.
"We're not scared. The last two seasons we've competed for the league and come very close," he told BBC Sport in an exclusive interview.
"We're also back in the Champions League - we have some experience there now - so we feel we're ready to compete for every trophy.
"We really want to take that next step and try to win something."
"It's horrible, I'll be honest," he added on having gone so close to trophies for both club and country.
"It's just that extra fuel for me and extra motivation. I want to get it over the line this season and try to lift the trophy, for sure.
"You work the whole season and you're so close, you've literally got one hand on the trophy, you're in the final or you're right there to win the Premier League, or whatever trophy you're competing for that season, and then you don't win it... it's like the whole year's work... and nothing to show for it.
"I know you can be proud of the season and evolution and development, but that's why more than ever we want to take the next step and win."