To win the UCL you need a squad that is able to maintain its performance in every match. Arsenal must learn more from the success achieved by Real Madrid and Manchester City if they want to win this most prestigious championship. Arsenal still needs time to compete with Real Madrid or other big clubs, maybe it's true as you said, Arsenal should focus on the EPL first, when they are able to win the title, they can increase their target to the UCL.
Arsenal have a long way to go when we engage in discussions about accomplishment of major titles like the UEFA Champions League. Don't get me wrong, Arsenal have promising future ahead but with the current form, they're only fighting for an upgrade to the main category of the winning team which is not easy at their end. We're talking about prominent clubs that have outstanding form and have possible odds of winning major titles before the tournament kicks off. There are more accessible options to explore and winning becomes a thing to bother about when a particular club have failed to meet targets.
And I think even the arsenal fans themselves know this because they have an outstanding issue that have been faced with them for time now and they can't seem to really get their finger wrapped around the issue which is the torment that Manchester city has given to them in terms of always snatching the premier league from them even with their very best effort and this is one of the major reason many feel they are not yet upto standard of winning the UCL.