Steve McClaren led the Teesside club to their first trophy last term, which meant that this season they would play in Europe for the first time.
The Boro boss has since used that success to lure the likes of Jimmy-Floyd Hasselbaink, Mark Viduka and Gaizka Mendieta to make permanent moves to the Riverside, and Boro are now doing well in the UEFA Cup.
"We cannot win the Champions League and if we are being realistic we cannot even win the championship," admitted Keegan in the Chronicle.
"But we can win this, which is why we should treat it so seriously. You only have to look at what it has done for Middlesbrough to see its value.
"For us, it represents a chance to win a trophy," he added. "For Arsenal, this is fourth in their list of priorities. Nevertheless, they will want to come and beat us and show exactly how strong their club is."
Keegan knows Arsenal will be far from full strength in the third-round tie, though Arsene Wenger's side reached the semi-final last year using the same policy.
The Arsenal boss claims top-guns Thierry Henry, Sol Campbell, Ashley Cole and Patrick Vieira are carrying slight injuries and will be rested, so Jermaine Pennant and Cesc Fabregas are the only two in the Gunners squad to have proved themselves in the Premiership so far.
The rest of the squad is made up of promising youngsters, though summer arrivals Robin van Persie, Mathieu Flamini, and keeper Manuel Almunia will be keen to make an impression and gain a greater role in the Premiership.