The Blues host their London rivals at Stamford Bridge in the first leg of their semi-final on Wednesday on the back of successive draws, including a pulsating 2-2 result against the Gunners in the Premier League last week.
And, with Chelsea having seemingly already failed in their Premier League title defence - with Conte's men 16 points adrift of leaders Manchester City - the Italian is determined to bring other forms of silverware to west London.
"Last season we won the league and we played the final of the FA Cup and then the Community Shield. It was great experiences for me. I would like to play another final this season and for sure my players will try to do everything to reach this target," Conte said on his club's official website.
He continued: "It is difficult to prepare this game because we played [Arsenal] before for a place in the top four, now we are playing against a big team like Arsenal to reach a final in a good competition in England.
"These are two massive games and usually when you have these type of games, you lose a lot of energy, mental and physical.
"Then you have to play teams in the league which is also important. This is my only worry, not that we are playing three games versus Arsenal, but because we are playing three massive games in a short time and we have to play the league and we have to play FA Cup."