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.
What Real Madrid and Manchester City have done will be difficult for Arsenal to imitate. Real Madrid have built a very solid squad over the years and of course they also have a winning mentality in the UCL. Manchester City has good finances so club management can give Guardiola the freedom to choose any player he likes and form a solid squad. Both are the best in the UCL at the moment. Arsenal will take a long time to be able to compete with Madrid or City. But I think the EPL is more realistic. They had good form and the league and only bad luck made them fail to win. This season Arsenal will become even more solid and I hope they can maintain consistency in their game this season.
Manchester City and Real Madrid always give a lot of importance to their domestic league and Champions League but we don't see that in case of Arsenal. Arsenal may take the English Premier League tournament very seriously but they are not too interested in the Champions League tournament. If they had given more importance to the Champions League tournament, their performances in the Champions League would not have been so bad on a regular basis, while in the English Premier League they are rightly second in the points table. Real Madrid and Manchester City are as much expected in the Champions League as we are in Arsenal, so Arsenal should prepare for the Champions League and prepare accordingly.
Real Madrid will certainly be ahead of the rest of the teams next season with the way the teams have been so far and Manchester City could do well there as well but Arsenal have yet to change their squad so it wouldn't be a surprise if their performance is similar to last season.