Arsenal’s hopes of silverware were cut to two competitions following defeats by Manchester City in the League Cup final and Championship side Southampton in the FA Cup quarter-finals.
Arteta said his players remain motivated as they chase a first Champions League title and a first Premier League crown for 22 years, with Arsenal top of the table on 70 points from 32 games.
"What we are trying to achieve, it's difficult, challenging, bumpy at times. It's supposed to be like this. You have to confront it," Arteta told reporters on Tuesday.
"We are trying to do something, in this competition, that hasn't been done in the history of the club. That tells you the difficulty of that. It's the first time that we three years in a row in the Champions League quarter-finals.
"If we want to go to the next step, for sure, we have to have more ambition than anyone else. We are doing it, and are very, very close."
The London club take a 1-0 lead into the tie after losing 2-1 at home to Bournemouth, allowing second-placed Manchester City to close the gap to six points ahead of their Premier League summit meeting on Sunday.
“We have no fear. Pure fire, that's what I want to see from the players, the fans and myself,” Arteta said.
“We are in April with an incredible opportunity ahead of us. Let's go for it. We are putting everything into it.”
The Spaniard kept his cards close to his chest on team news, offering no update on midfielder Declan Rice who missed training.
"We have to wait tomorrow morning to see how a few of the boys are and make the right decision," Arteta said.
"I do not want to speak on what the situation is with Rice. Maybe one of Bukayo Saka or Jurrien Timber will return. We have to wait and see."