The Germany international made his first appearance since signing from Werder Bremen in Saturday's 1-0 win at home to Swansea.
"I still have goosebumps," Mertesacker told the Bild newspaper after the match.
"We are in the motherland of football. It was something special."
Mertesacker has also been impressed by Arsenal boss Arsene Wenger, who has come in for criticism following the club's poor start to the season.
"Wenger is a huge personality," he said.
"He trusts me 100%, gave a short, clear speech. In training we practise a short, precise passing game. That will help me improve."
Mertesacker admitted he has to get used to a more intensive game in the Premier League.
He added: "I have sensed that everything is five per cent more intensive, the tackles, the tempo."
The defender's inside knowledge of the Bundesliga will be called upon when Arsenal travel to Borussia Dortmund in the Champions League on Tuesday.
And he claimed his new team should not be too encouraged by the German champions' poor start to the season, including a 2-1 home defeat to newly-promoted Hertha Berlin at the weekend.
"For me Dortmund are the top favourites for the last 16 and are still a top squad," he added.
"Despite the defeat against Hertha, they are still a force at home."