The Gunners were knocked out of the Champions League despite a 1-1 draw away to Bayern Munich on Tuesday night, beaten in the European tie 3-1 on aggregate.
However, all is not lost this season for Arsene Wenger's side, who can put themselves back in the Barclays Premier League title race with victory at Tottenham on Sunday and also have an FA Cup semi-final date with Wigan to look forward to.
Arsenal have not won a trophy since Patrick Vieira lifted the FA Cup in 2005.
Arteta feels the current generation could go on to mark their own place in the club's folklore if they are able to get past the Latics, who knocked Manchester City out in the quarter-finals, and then go on to beat either Hull or Sheffield United back at Wembley in May.
"I think it would be a turning point for the club, because (for) such a long time we don't win anything. It gives you a lift, gives you belief that you can start to go in the right direction and hopefully we can do it," Arteta said.
"We have a great chance, (but) there is still a month to go and some really tough games coming up.
"That is why it is important to get some momentum for that moment and get there with the belief and in good form."
Arteta added: "We have two competitions that we are still in. We want to fight for the league, for sure, and we have a great chance in the FA Cup as well.
"We need to make the most of it because I think we can do something good."
Despite the prospect of an imminent trip to Wembley, Arteta has called for focus on the testing run of Premier League games between now and April 12.
"We have to recover, we have two massive games away from home. Tottenham and Chelsea," the Spaniard said.
"We will get the legs back (now), focus and take positives and try to get a good run."