Oxlade-Chamberlain insists that while the current squad are not burdened by the weight of expectation, they are all conscious of just what ending the best part of a barren decade would mean for the future.
"I have been here for three seasons and others have only joined this season so in a way, as a club, it is weighing on us, but as players it is not like that," said Oxlade-Chamberlain, the 20-year-old England international who signed from Southampton.
"We have all come together as a fairly new squad and for the time we have been together, we have been building ourselves up to a moment like this.
"When people say it has been weighing on the club heavily, the players are fully aware of that and we want to make that right.
"But as a group of players, the most important thing is that we have been gelling together over a fairly short period of time, maybe two or three years.
"So for us it is just trying to do the basics right and working together as a team to win a trophy."
Photos of Wenger's 'Invincibles' side of 2003/2004 adorn the walls of Arsenal's London Colney base, and Oxlade-Chamberlain is confident the latest generation can cement their own place in Arsenal history over the coming seasons.
"With the pictures around the training ground, that would be nice," said the England World Cup hopeful.
"It is just good to get into winning ways, to win a trophy, to be able to go the whole journey as a team and win it, that is a massive experience for a team like us, who are fairly new together.
"It is definitely a springboard and a confidence boost going on to the future."
Oxlade-Chamberlain added: "Once you do get that experience of winning the first one, you automatically build confidence that you can go on and do that again and again and again
That experience is vital.
"I always hear commentators talking about squads that have been around and that have won things, they always mention the experience of winning, and knowing what it takes to win
They have only got that through winning trophies, and winning competitions.
"That is definitely something that will help this team to go on and push forward and be successful in the future, but it is just getting to that first one, and that is a lot easier said than done.
"We are all desperate to win, there is no doubt about that, but for me it is not so much that I am really impatient, I am more interested in trying to play as well as I can, and help the team whenever I am needed.
"I believe that with the team that we have here, it will come."
Oxlade-Chamberlain can remember watching on as Arsenal beat Southampton to win the 2003 FA Cup final in Cardiff, while his father Mark often recall stories of his appearance for Portsmouth against Liverpool in the 1992 semi-final against Liverpool at Highbury, where he limped off injured and missed the replay defeat on penalties at Villa Park.
The Arsenal midfielder, though, knows there can be no dreaming of a piece of his own Wembley glory in May just yet, as Wigan will want their say.
"We don't think we are massive favourites and they are underdogs
We know it will be really hard," he said.
"If they can beat Man City, on their day they can beat us, and it is our responsibility to make sure that does not happen by not taking anything for granted and approaching the game in the right manner.
"We know what is in store and what they are capable of, so we need to give them the respect they deserve and do what we need to do as a team."
Source : PA
Source: PA