The Gunners are in the hunt for a return to the top four, currently sitting fifth, a point behind Manchester United ahead of the two sides' clash next week.
"After Arsene Wenger left, a lot of things changed at this club," Xhaka said. "We are happy with the coach and we have improved a lot, and we work a lot.
"It will be a big step if we return to the Champions League. We want to. It's not easy but we will keep working.
"Of course it is important. Two times in three years we did not play in the Champions League and a club like Arsenal has to play in the Champions League.
"We need to show that on the pitch."