Most likely, clubs will always give priority to the Champions League, but the Premier League is also a very respected championship and I would not be surprised if Arteta wants to become the champion of England and sacrifices the Champions League for this. Still, there is Real Madrid, with whom it is very difficult to compete, although you can of course try to win both tournaments, but Arteta understands how difficult it is, even Bayern, which now has a lot of problems, looks like a very formidable opponent.
I don't think that would be best decision for Arterta. Winning premier league title is much more easier than winning champions league for Arsenal at the moment. Winning both premier league and champions league league is possible but the chance is very slim. Arsenal are playing in UEFA champions league quarter final for the first time after fourteen years and you can guess the excitement. Arsenal is actually doing much better now and Bayern is going through a bad time but Bayern's record over the London sides has been impressive with incredible scorelines. Perhaps, Arsenal may change the narrative but the last meeting between this two teams was heavy defeat for Arsenal. I won't be surprised if this record is broken because Bayern's long time unbroken records have been broken already and this will just be an addition if Arsenal eventually pull a surprise strike.