The 28-year-old believes that the club has really made progress in recent years and they need to build on that, plus this season's positive cup streak, so they can improve in the league in 2016/17.
The Eagles suffered an extra-time 2-1 defeat to Manchester Unite in the cup final at Wembley on Saturday.
"Obviously it's devastating to lose," McArthur said.
"It's more gutting the fact we went 1-0 up and conceded straight after. In extra-time we regrouped and went again and had opportunities. Everyone's so gutted, but we feel this club is going places.
"We had a good cup run and need to take that into the league next season. We had a good start to this season and want to carry that on."