The two teams will meet in the round of 16.
Baresi stated: "We have good memories with Arsenal, but we could have been luckier, we hope we can do well, they will be fascinating challenges, we have all the qualities to create problems.
"It is certainly a tough opponent. London will not be easy, but if we want to get to the top we have to think big, they play very fast and technical football, they have attackers and good midfielders. But Milan have players who can create problems - and when the chances arrive we must take them."