The Gunners stunned the Spanish giants with a 3-0 first-leg victory, a result already being described as one that "will go down in folklore."
Declan Rice was the star of the show, netting two sublime free kicks within twelve minutes - remarkably using a new set-piece routine that went against instructions from both set-piece coach Nicolas Jover and captain Martin Odegaard.
Mikel Merino added a third with a composed goal on the swivel, as Arsenal expertly exploited a known vulnerability in Madrid's defensive setup.
However, Arteta was quick to shift attention back to domestic matters, underlining the importance of "focusing on the basics" ahead of their clash with Brentford.
"It's great for us as a team as well to build this moment, the connections and history," Arteta said after the win over Los Blancos.
"I said the day before, it wasn't about believing, that's not enough. It's about conviction, feeling it and making it real.
"In order to do that, we had to do a lot of things right like we have done all season, especially with the circumstances that we have had, so let's continue with the same mindset."
He added: "It was a very special night. That's over, and now full focus is on Brentford, because it's a game that is going to require the best of us."