The Gunners managed to avoid a stumbling block in the previous round after a 4-1 win against Serie A giants AC Milan to set up a meeting with CSKA Moscow.
Arsenal are in sixth place in the Premier League table but 13 points adrift of fourth-placed Tottenham Hotspur in the race to secure a Champions League spot.
The north London side’s best hopes of booking their place in next season’s elite European competition is to win the Europa League.
Manchester United managed to do just that last term thanks to a 2-0 victory over Dutch giants Ajax in the Europa League showpiece in Stockholm.
Former Arsenal star Nicholas is backing the Gunners to ease to a 3-0 win over CSKA Moscow at The Emirtes on Thursday night.
“Arsenal were bog standard at the weekend but somehow managed to come out of it with some momentum thanks to the three late goals against Stoke,” Nicholas told Sky Sports.
“Pierre-Emerick Aubameyang is obviously a miss as he is cup-tied but it was good to see his team spirit letting Alexandre Lacazette take the second penalty.”
He added: “It is too early for Arsenal to be getting ahead of themselves and thinking about winning this trophy yet – the focus must be on getting a good win heading to Moscow and avoiding another difficult situation.”
Arsenal are looking to win their first major European trophy under Arsene Wenger.
The Frenchman saw his side lose 2-1 to FC Barcelona in the Champions League final in 2006.
Arsenal lost on penalties to Turkish club Galatasaray in the Uefa Cup final in 2000.
The Gunners signed Pierre-Emerick Aubameyang and Henrikh Mkhitaryan in January.
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