The defending champions will take on Diego Simeone's Atleti in the first leg at the same venue they won last season's title.
Having not lost in the Premier League all season, Alexander-Arnold says the squad is certainly not short on confidence.
He told a press conference: "We obviously want to achieve as much as possible and those feelings are hard to come by so we want to make the most of it while we can.
"For us, it's obviously about trying to do the things we did last June. In terms of changing the focus, nothing's really changed for us because we go into every game with the same mentality.
"We respect the opponent as much as we can, we understand that we're a really good side and if our mentality is right, our commitment is right in the game, then we have a chance.
"In any competition we take part in, we're confident going into the game.
"I wouldn't say we have a psychological edge, I'd say we're confident and believe in our own ability.
"We believe in ourselves as individuals and as a team so we go into it confident, whether that's an edge or not, that's our mentality.
"It won't change for any team we come up against because that's the message the manager has instilled in us over the course of his time here and we've bought into that.
"For us, it's about doing the things that we know and we're good at."