I don't think Arsenal will lose all their advantage in the second leg and let Real Madrid destroy all the chances, but we never know for sure. If Arsenal want to qualify, then they don't have to focus 100% on defense because Real Madrid can press better. Arsenal must play openly with a combination of defense and attack, if they only defend because they are already leading 0-3, then Real Madrid will come back.
This situation is still possible, but for now, it could happen if there are some changes made by Madrid because with the performance in the first leg, it will be very difficult for Madrid to realize something like this.
The Champions League is sometimes difficult to guess for both legs but of course things like that depend on the performance on the field of course, if Madrid can play well it is not impossible that they can make an impressive comeback in the second leg but if Madrid remains the same as before it will indeed be very doubtful because after all making a comeback with an aggregate of 3 goals against a comfortable Arsenal now is clearly difficult.