Duke, who was the Bantams' hero in the last round saving a Jordi Gomez spot kick to knock-out Wigan, says they can hold their nerve from 12 yards in front of a full house at Valley Parade.
"If it goes all the way to penalties it looks like we're favourites. I've always fancied myself saving them, and as a keeper shoot-outs are a dream scenario, because it's a no-lose situation," he told Sportsvibe.
"You're not expected to save them, but given five to face in a shoot-out I'd expect to stop at least one. You can become a hero with just one save, and and the way the lads have been taking them, we're confident."
But the former Hull stopper admitted the mystery surrounding the Gunners' potential line-up can pose real problems for his shoot-out preparations.
He added: "It's hard to study exactly where the Arsenal players will put their penalties because we don't really know who their team will be.
"I'd have to study about 15 potential penalty takers, so it will be more about how I am on the night and the feeling I get from whoever steps up, if it goes that far."