Having taken in Arsenal's' recent 6-2 defeat of Blackburn ahead of Tuesday night's Group H clash, former Holland and Barcelona defender Koeman said: "We know Arsenal are very good and we know what we have to do.
"It starts with self-belief. We must be at our best and for them to have an off-day.
"I saw their game against Blackburn and they could have scored 15 times! On the other hand, Blackburn had four excellent chances and scored twice.
"Arsenal, therefore, have defects.
"We must take the initiative, dominate possession and take the chances that come our way."
AZ Alkmaar have picked up just one point from their two games so far in Group H but defender Kew Jaliens remains confident of progression.
"Everything is still possible in our section," said Jaliens.
"I am feeling optimistic. We didn't feel we were the weaker side in the two previous games and we need to prove that in the remaining fixtures. In terms of points it is still completely open.
"You have to give it 100% and see where it takes you.
"You always have to go into a game with a positive attitude."