Lead by their former midfielder Gennaro Gattuso, Milan have not lost a match since before Christmas. Conversely, the Gunners are in a dire state having lost their last four matches.
"Rino Gattuso has really changed the face of Milan," said Shevchenko, speaking at the Laureus 2018 World Sports Awards.
"It's almost like two different teams. With Montella, Milan signed 11 players and it was a time of transition.
"It's always difficult when so many players come to find the perfect solution. Any manager needs time to adapt players and bring them into team in the perfect positions.
"The second stage, when Rino came, it has really changed the mentality of the players. Milan are starting to look like the Milan of the old days. They are compact and aggressive and very angry for the win."
Shevchenko added: "They will be confident against Arsenal. At the moment Milan looks very good. The dynamic of the football can chance every weekend.
"If you win you can find something positive. You just keep going and win a couple of games and the confidence comes back. In football things can change quickly."