I don't see a reason for Real Madrid to lose from Arsenal. I think no more doubt for them as they're just getting better. I know how good Arsenal in term of set piece compared to them, but we have Ancelotti and good squad. No more doubt on them if we're truly madridista.
As for Arteta, he's is a good coach, and have enough creativity in tactical creation. However, he's not comparable to the Ancelotti who is tactically geniuses. Impossible for him to compete with Ancelotti who labelled as GOAT of manager.
Yes, we will see Real Madrid will give a surprise in UCL when facing Arsenal, Real Madrid will likely win by defeating Arsenal. I think Real Madrid players do not need to doubt that they have many great players and also have Ancelotti, a coach who has a good career in UCL. The team's performance in healthy condition, there is no doubt that Real Madrid will be superior. Discussing Arteta, he is a good coach, and has enough creativity in organizing and making new designs for a team that is almost equal to Ancelotti, I also see both of them as the best managers and both have different tactics.
Arsenal just doesn't have that "winner" mentality, they are always doubting themselves and they always have a chip on their shoulders because they fail to win stuff, that is the most important part. I am not entirely sure that we are seeing this becoming a problem at all, we need to realize things are looking as easy for Real Madrid as it gets.
Because they have the confidence, and instead of facing some team that will have some hard fought desire to beat them, they are going to face a team that doubts they could. That type of confidence difference between these two teams should decide the games itself and Real Madrid should think about the next stage already, or maybe focus a bit more on la liga since they are not winning that at the moment.