The Gunners head into the game nine points behind leaders Chelsea and looking to claw their way back into the race for the top-flight trophy.
Chelsea, meanwhile, are flying high at the top of the table and are the heavy favourites to win the title this season under new boss Antonio Conte.
The Blues can move 12 points clear of Arsenal with victory at Stamford Bridge on Saturday lunchtime.
And Winterburn has talked up the importance of the game for Arsenal as they look to try and reduce the gap to the leaders down to six points with a win.
Speaking to Sky Sports News HQ on Friday morning, Winterburn said: “For me, Arsenal have to go there and try and win this game.
“A defeat for Arsenal, 12 points [behind] and with the other teams around them will make it almost impossible to go on and win the title.”
Arsenal are looking to go one better than their second placed finish in the Premier League last season.
MORE: Man United latest news
MORE: Arsenal latest news
MORE: Chelsea latest news
MORE: Liverpool latest news