The Gunners head to Wembley on Saturday afternoon looking to put their stuttering Premier League form to one side and stay in with a chance of finishing the season with a trophy.
FA Cup holders Wigan have already beaten top-flight sides Manchester City, Cardiff City and Crystal Palace en route to the last-four clash.
And the Latics boss feels that Arsenal will be under more pressure due their long wait to win a major trophy.
“We’re going to Wembley and we’re meeting a top team in the Premier League,” Rosler said.
“We are the massive underdog but we have presented ourselves so far in a very, very good way. We’ve made our supporters proud and we’re going to Wembley; we can’t lose, we only can win.
“Everybody highlighted the fact Arsenal now really have to go for the FA Cup and win the FA Cup.
“Their own players said that this week and obviously that puts a little bit of extra pressure on Arsenal.”
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