Appleton is taking the trip to north London seriously despite there being less pressure on Rovers to succeed in the cup than there is to get the club out of the Championship.
"It is a situation where we'll have a lot of fans travelling down to Arsenal on Saturday expecting the players to put in a right shift and give everything for the football club like they did on Tuesday," said Appleton.
"When you arrive at the stadium, you feel the buzz of the FA Cup, all of a sudden you genuinely believe that maybe this is another game that we can win.
"You just don't know, if Arsenal have an off day and we have a good day then you find yourself in the last eight and all your worries as to whether this is a game too much will be gone. We'd have a last eight cup tie maybe at Ewood Park against another big boy.
"I don't want to get ahead of myself, we've got a game against a side that has probably put five or six goals past five Premier League sides already this season.
"So if we go there and think we are going to enjoy ourselves we'll get spanked.
"It is going to be a hard day for us but hopefully with a little bit of lady luck on the day and strong refereeing we might have a chance."