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.
Coach Mikel Arteta has lots of work to do for Arsenal to defeat the almighty Real Madrid. I don't agree with the conclusion that the Gunners don't have a winning mentality. They have closely lost the English Premier League for the last two seasons because of some conditions and injuries are one of them. Unlike Real Madrid, Arsenal has relied too much on some players. And when these players are injured, it becomes a major problem. The same thing seems to have happened this season with the injury of Bukayo Saka. Arteta has built his team around the English left-footer. But there are reports that he would be fit for the Real Madrid game, which is a big boost to the English side.