The German outfit stunned the Gunners on Matchday Three, with a 3-1 success in North London inflicting a first group stage loss on Arsene Wenger's men at Emirates Stadium.
Schalke are hoping to repeat the trick on home soil on Tuesday night, with Afellay of the opinion that another positive result could be enough to see them prolong their European adventure.
He told Sky Sports: "Our victory in London was a serious warning to Arsenal. Now they know that Schalke are capable of big performances and we will not be as much of a surprise to them.
"The fact that we won at the Emirates means we are capable of repeating that result at home.
"This game is now the most important in the group because with 10 points we would practically be in the next round.
"Arsenal will be more dangerous, though, because this match is just as important to them. If they lose, they will be under pressure in the last two matches.
"We do not fear Arsenal in any way. We are a side with goals in us and that will be key to this match."
Afellay is also refusing to buy into the belief that Arsenal could be there for the taking in midweek, with defensive errors allowed to creep into their game.
The Holland international, who is on loan at Schalke from Barcelona, added: "This is the sort of thing that happens to every team when they lose.
"I consider Arsenal to be a solid team and I don't expect them to give us many chances in Germany. It will be a battle for three points.
"The main danger for us is if we allow Arsenal to control possession. If we leave the ball in the hands of people like (Santi) Cazorla or (Mikel) Arteta, we will suffer. We must avoid that."