Yes, Arsenal will indeed focus on two competitions at once, but in my opinion they can still make the closest match a priority for them, whether the closest match is in the Champions League or in the Premier League. Arteta must also be able to prepare his team as best as possible for every match they will play.
Arsenal's meeting record when facing Bayern Mnuich is not very good, but that doesn't mean they can't improve that record by winning this match. They have a chance to beat Bayern Mnuich, as long as they can play consistently and don't make many mistakes.
Bayern Munich themselves will definitely focus on the Champions League, because in the Bundesliga they have been eliminated by Leverkusen. This will be a difficult match for both teams.
Having to focus on two competitions, especially now that these two competitions are quite important for Arsenal, will of course make them very tired and it cannot be denied that in terms of pressure, Bayern Munich is a little more advantageous now because they only focus on the Champions League match.
The fatigue factor will be quite influential on a team's performance, especially when one of them does not go according to expectations, which will certainly cause a team's mentality to decline further.
And for now, looking at the first leg between Arsenal and Bayern Munich, I don't think there are any obstacles for either team, I don't think there are any special reasons that are worth discussing from now on.