The Gunners reached the final of the competition back in 2019, but they were then comprehensively beaten 4-1 by their London rivals Chelsea.
Arsenal subsequently reached the semi-final the following year, losing to Villarreal, before last season playing no European football at all.
Now they are back in the Europa League, kicking off their campaign against FC Zurich on Thursday, and Xhaka wants to go all the way.
“Very disappointed, first of all, because when you get to the final you want to win it, for sure,” said Xhaka, reflecting on the 2019 final.
“But you can only learn about this. Three years later we are still here now in the Europa League – and it’s time to win.
“Looks like we are with the whole team here [in Zurich]. We have an opponent tomorrow that we have to respect. It’s a good team, a very dangerous team.
“But we want to start well in a new competition, in the Europa League and we want to take the three points back to London.”
Xhaka was speaking in Zurich as Tottenham kicked off their Champions League campaign in London, but he insisted the squad aren’t thinking about how their rivals are competing in a superior competition after pipping them to fourth last season.
“We don’t care about nobody. We don’t look to the other teams,” Xhaka said.
“This is how it is. We have to accept. It’s a competition where normally we would want to be in the Champions League, of course, but me, my personality, I don’t care about where the other teams play.”
Arsenal have not won a European trophy since all the way back in 1994 and manager Mikel Arteta wants to end that wait.
“That’s a long time and I would like to be the first one to break that negative record,” said Arteta.
“But you have to start somewhere and it’s tomorrow, and it’s time to play well and earn the right to win the match.
“We don’t have that many players available unfortunately with injuries we picked up in the last two weeks.
“This is a competition that we want to take very seriously against an opponent that is going to make life difficult for us, and we want to start the competition in the right way and maintain our momentum.”