Arteta took Arsenal to their first Champions League semi-final since 2009 last year, where they lost to eventual winners Paris St Germain. This year, he hopes to take the club to what would be just their second final of Europe's premier club competition.
Arsenal have seen their lead at the top of the Premier League cut to three points by Manchester City, who have a game in hand, in recent weeks, along with exiting the FA Cup to Southampton, but were boosted by a 1-0 win over Newcastle United at the weekend.
"It was a massive win for us against Newcastle," Arteta told reporters ahead of Wednesday's first leg in Madrid.
"You could sense straight away the energy, the confidence coming into this game. It's a massive privilege to be here again two years in a row in the semi-final of the Champions League, representing our club.
"What an opportunity. We're going to grab it with both hands. You're going to see a team that wants to be dominant, that wants to win it, and that wants to start to decide the tie tomorrow."
Arsenal may be taking on a side which dispatched Barcelona in the last round, but Arteta's side are the only unbeaten team in this season's competition.
"We know the difficulty of the match, but I think we have shown in Europe, in any ground, what we are capable of," Arteta said.
"We've been very consistent, and tomorrow we have to play with that confidence, with that desire, and that will to come here to win the game.
"That's the way we are all feeling, and that's the energy that I feel amongst the team and the club. This is the stage that we want to be in, and we have earned it. Through incredible work, passion, and quality."
Arsenal thumped Atletico 4-0 when the sides met in London in the league phase in October, but last season they also beat PSG at the same stage before losing to the French side in the last four. However, this is not something Arteta has discussed with his players.
"No, because it's not a very positive message. There are a lot of positive messages that I can send to the team," he said.
"Obviously, we learned things from that game, but tomorrow's game is going to be a completely different one, especially playing here.
"We know what they've done and what they are capable of, and also now some experience as well in this kind of game, and we know exactly what we have to do."