Three class strikes ensured Burnley did not continue their giant killing exploits in the various cup competitions this campaign.
Carlos Vela hit the first in the 25th minute to put the Gunners one up at the break.
Eduardo added a second before Emmanuel Eboue made it three late on.
The Frenchman told Setanta 1: "When you score goals it helps always to lift confidence and belief and it's important for us to go to Roma with the feeling that we can do the job well."
The Frenchman praised the quality of his team's performance, particularly the goals.
"The first two were exceptional goals," he added. "I like the third one as well, it was a good combination, the way we like to play.
"We scored three good goals, we could have scored more, but what is important with Roma away now in the Champions League is that we didn't concede."