The Gunners face Cologne on Thursday having failed to qualify for the Champions League for the first time in boss Arsene Wenger's reign.
"You make your decision," said Cech. “When I was at Chelsea, we were really disappointed to be out from the group stage of the Champions League.
“But we decided that it was the first time and hopefully the last time we played the Europa League and we wanted to win it.
“You decide how to approach it. You go in it to win it, give yourself a chance to do it or make different priorities and then see how it goes.
“It's one of the trophies that this club has not won since it became the Europa League. It could be one of the targets because it's always nice to win a European trophy, regardless of which one it is."