The Gunners blew away Inter 3-1 at San Siro stadium as Gabriel Jesus struck twice and Viktor Gyokeres also scored late on for the visitors. Petar Sucic scored for Inter early into the first-half.
A smiling Arteta said afterwards: "I'm very happy, super proud of the players.
"We talked about doing something special tonight, and it was going to require a very, very complete performance to have the opportunity to win, and collectively, I think we understood the game really well.
"We had the right emotional control, the right aggression, and then individually I think we were super good, and we had some big, big individual performances. The level of courage we had to show, the conviction. If you really want to help this team, it has to be there.
"There are some risks, and you know that (Inter) have the capacity to open you up very well in the manner that they played. But we knew that we could hurt them as well, but we had to be really consistent."