The Gunners are unlikely to qualify for the Champions League by virtue of their Premier League position in the current campaign.
Arsenal are in sixth spot in the Premier League table and 11 points adrift of Liverpool FC and Tottenham Hotspur in the table.
The north London side were 4-1 winners against Russian side CSKA Moscow in the first leg of their Europa League quarter-final last week.
Arsenal lost 2-1 to CSKA Moscow in the return leg but the Gunners still progressed to set up a meeting with Atletico Madrid in the last four.
The Gunners have never won a European competition under Arsene Wenger having lost to FC Barcelona in the Champions League final in 2006.
Arsenal suffered a loss to Turkish side Galatasaray on a penalty shootout in the Uefa Cup final in 2000.
Former Gunners star Merson believes winning the Europa League would represent a big success for Arsenal this season.
“If Arsenal can win this trophy, I think it is a great season for Arsenal,” Merson told Sky Sports.
“They have played under severe pressure. They have turned it around. They are going to be through to the semi-finals.”
Arsenal signed Pierre-Emerick Aubameyang and Henrikh Mkhitaryan in the January transfer window to bolster Wenger’s attacking options.
The Gunners have won the FA Cup crown in three of the past four seasons under Wenger.
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