The Spaniard won the FA Cup in his first season in charge, in 2020, but the trophy cupboard has been bare since then despite some near misses.
Arsenal, Premier League runners-up for the past two seasons, are currently third in the English top-flight, six points behind leaders Liverpool having played a game more.
On Wednesday they host Crystal Palace in the quarter-finals of the League Cup, three days before a match against the same opposition in the league.
Arteta said he was hungry for more silverware including "the big ones", adding a cup run builds momentum.
"I fully believe in that, the fact you are winning, you get into the next round of the competition, it builds, it creates something different around the team, that's why these kind of games are really, really important," he said.
The 42-year-old said winning the League Cup would be a huge shot in the arm for the club, who have not won the Premier League since 2004.
"It brings belief, trust, positive energy," he said.
"Touching a cup, beating someone in the semi-final, beating someone in the final, it generates that energy.
"And I think it creates that right path to go and do something else, especially because of the timing and when the competition is played in this country, it gets the momentum going."
The League Cup final will be held at Wembley on March 16 next year.
Arteta, appointed as Arsenal boss in December 2019, said he would "decide the best team to win it" when asked about the potential for wholesale changes in Wednesday's fixture.
"We'll decide that in the morning in relation to how the squad is, obviously the relevance of the match and where we are in the quarter-finals, it becomes a very important match," he said.
