Arsenal are not missing out on anything not to be a major contender of the champions league just like Manchester City and Real Madrid have been over the years now. Arsenal are a great team and they have all it takes to win any trophy now. Just like you’ve mentioned, they just lack that winning mentality and that is what have caused them to not have win any trophy for themself till date despite the great performance they pull up every season. If they can have that winning mentality and their mind set at making sure that they get what they want by all means, they can win a trophy in the next season. I have so much believe in them but they always disappointed towards the end of the season.
I think this is the only fact I have seen about Arsenal so far. They are really good and the squad is very strong, but I think the luck to win is not always by their side, and also, at the end of any season, they get slack; they don’t perform as they start the season; if not, Arsenal always starts all the seasons with great performances that no team can come near them that will give them any pressure by any side, but they always get problems when the season comes to an end. If not, if we are to talk about squads, the Arsenal squad is full and can win any trophies, but luck is not by their side, so I think they need to work harder to get things done for themselves because I believe they can do it.
This fact cannot be denied, it must be admitted that Arsenal in recent years has had a good and strong squad, but their only weakness lies in not having a strong mentality when facing a lot of pressure. In the domestic league, for example, Arsenal has almost won the EPL twice because they started the season well, but when the season started to end, the mentality of the Arsenal players started to waver. A similar thing also happened in the UCL league last season, even though last season Bayern Munich was not as strong as before because last season Bayern Munich went through a bad season but they were unable to beat Bayern Munich. This is all because they lost mentally to Bayern Munich even though at that time Arsenal's game was better than Bayern Munich's game.
Luck is indeed one of the factors, but luck also happens because you have a high mentality and fighting spirit. So Arteta should prioritize this problem as the main problem that must be overcome, namely the mentality of players and players not giving up easily. because Arsenal's strategy and game have been quite good in the last two years.