The Gunners head to Germany on the back of a 2-0 win over Liverpool which kept them at the top of the Barclays Premier League and produced the required response following a disappointing home exit from the Capital One Cup against Chelsea.
Arsenal may be five points clear at the top of the table, but Arsene Wenger's side are certainly not having it all their own way in Europe.
Jurgen Klopp's well-drilled outfit secured a 2-1 win with a late goal from Poland forward Robert Lewandowski, which has left three sides tied for the lead in Champions League Group F after Napoli beat whipping-boys Marseille.
Dortmund have won eight out of eight home matches this season, including the German Super Cup, and warmed up for the visit of Arsenal on Wednesday with a 6-1 victory over VfB Stuttgart where Lewandowski plundered a hat-trick.
However, German international Mertesacker, signed from Weder Bremen in August 2011, feels if the Gunners can bring their own high-quality game to Signal Iduna Park, then there is no reason to believe why they cannot return to London with a positive result against last season's European runners-up.
"It is difficult to play Dortmund, especially away from home, but we have to keep our confidence," said the 6ft 6in centre-back.
"We are on a high level. We are top of the (Premier) League.
"We try to gain confidence and we need to get a good result over there.
"But we are relaxed. We did show already in the Premier League that we are one of the best teams.
"It is a little bit different in the Champions League, though, and we need a result there to stay (in line for qualification)."
Dortmund have never lost against English opposition at the Westfalenstadion, but Arsenal were within two minutes of winning there in September 2011 before the hosts scored a late equaliser.
Arsenal are also unbeaten from four away ties in Germany - the last being a famous 2-0 victory over the eventual European champions Bayern Munich in March.
Mertesacker said: "It is hard to describe what we will expect in Dortmund.
"Two years ago it was a tough game and some of us will remember that we were happy with one point."
Arsenal will be without England midfielder Jack Wilshere in Germany as he remains in London to recover from an ankle injury, which sidelined him in Saturday's 2-0 victory over Liverpool.
The 21-year-old missed Arsenal's training session on Tuesday morning due to the recurring problem but is expected to return for Sunday's Premier League clash with Manchester United.
Full-back Kieran Gibbs is another not involved after he sustained a hip injury during the second half on Saturday.
Midfielder Mathieu Flamini is not yet expected back from his groin injury, while Theo Walcott may be available for Sunday's trip to Old Trafford as he steps up recovery following minor abdominal surgery.