The odds are stacked against them with bookmakers offering around 10/1 for a Hull victory tonight and up to 50/1 to go on to win the competition.
Yet Brazilian star Geovanni, who scored as Hull pulled off a shock 2-1 win at the Emirates Stadium in the Premier League in September, believes anything is possible.
"In football, some unthinkable things can easily become possible," said the 28-year-old, who looked back to his best and scored in Saturday's 1-1 draw with Newcastle.
"Any player must have a winning mentality. In all my life I always sought to win and in football nothing is impossible.
"It is difficult to say which teams are easier to defeat - what we really care about is playing our game and seeking to win.
"It will be an important game for us in this competition."
Geovanni, who has mended his relationship with manager Phil Brown after a recent spat, would also relish the chance to play at Wembley.
"It will be a very important achievement, being in my first season with the team to make it to Wembley," he said.
The game will divert Hull's attention from their main aim for the season of retaining their place in the Premier League.
In previous rounds Brown has chosen to use some of his fringe players and changes are again likely with Saturday's trip to Wigan in mind.
One player hoping for the chance to start is on-loan striker Manucho, who has come off the bench in the last two games and scored a late winner at Fulham on March 4.
The Angola striker, who arrived on a short-term deal from Manchester United in January, believes the Tigers can pull off a surprise win.
"The ball is round, the game is 90 minutes, you have the same numbers on both sides," the 26-year-old said. "We are going to try to win.
"Arsenal are going to make life difficult but I am going to do my best to try to score and win.
"Arsenal are the big team but Hull are going to play the same way and try to win."