Arsenal, unbeaten since August, are three points clear at the top of the Premier League and have won both their Champions League matches so far, but Arteta was not keen to accept the "favourites" tag in the English top-flight.
"The only thing I embrace is when I see the team, the energy, the temperature, the commitment and quality that they can deliver. That gives me the conviction that we can go all the way," Arteta told reporters on Monday, a day before hosting Atletico Madrid in the Champions League.
"But that's just a feeling, then the next day you have to prove it and you can't be busy thinking about those topics.
"Every game in (the Premier League) is must-win. We are very appreciative of that, so we don't get carried away with anything."
Asked about a video shared on social media that showed Arsenal defender William Saliba watching Atletico Madrid on the coach after Saturday's 1-0 win at Fulham, Arteta praised the France international's eagerness to prepare for future opponents.
"Very pleased because I didn't encourage it, that came from them. We know this will be a tough one, so the earlier we think about it the better. I love that initiative from the players," Arteta said.
'Incredible' Simeone
Arteta said he looked up to Atletico manager Diego Simeone, who has led the Spanish club to two Europa League and two LaLiga titles since taking charge in 2011.
"What he has done since he got to Atletico has been outstanding, not only what has achieved but the way he has done it. The identity he has created, they are simple and clear to identify because the manager is very much them," Arteta said.
"That's very difficult to achieve, he's been there 14 years and what he's done is incredible.
"He is someone I look up to. His passion, how long he has been in the game, how he still has that capacity to transmit a willingness to win. To keep convincing players in this environment, you have to be extraordinarily good."
Defender Piero Hincapie will be available for Tuesday's clash after recovering from a groin injury, Arteta added.