The Sky Bet Championship club will be back in the north London stadium for a fourth time in 12 months hoping to knock out a fourth successive Premier League team and continue their remarkable story in this competition.
Their success to date has exceeded even the wildest expectations and that is why Rosler, who will bid to emulate Roberto Martinez by taking Wigan to the final, thinks his squad travel with absolutely no pressure.
Arsenal, on the other hand, could see their whole season unravel in the space of six days. Sunday's 3-0 loss to Everton dented their top-four aspirations while another trophy-less season could be potentially damaging to Arsene Wenger's 18-year spell in charge.
"We're going to Wembley and we're meeting a top team in the Premier League," Rosler admitted.
"We are the massive underdog but we have presented ourselves so far in a very, very good way. We've made our supporters proud and we're going to Wembley; we can't lose, we only can win.
"Everybody highlighted the fact Arsenal now really have to go for the FA Cup and win the FA Cup. Their own players said that this week and obviously that puts a little bit of extra pressure on Arsenal."
There is a valid argument that this season's cup run has been even more impressive for Wigan given Rosler, only appointed in December, has propelled his team into the play-offs in spite of a crowded fixture list which included six Europa League games.
Moreover, they have eliminated three top-flight sides - Crystal Palace, Cardiff and Manchester City - compared to last term when Everton were the only Premier League side they met en route to the final.
"There were always positive vibes and positive memories about the cup," Rosler added of this campaign's exploits.
"We had to put a lot in that first round against MK Dons, it went to extra time and we overcame that hurdle. Then we just enjoyed the occasion to meet the Premier League sides.
"My players are used to playing against Premier League sides and they are missing that this season. For them it was always like 'come on, I can still do it' and here we are in the semis."
While his players may be motivated by proving they remain able to compete with the country's best sides, Rosler will take inspiration from another source.
The German is keen to leave Wembley with happier emotions after defeat with Brentford in the League One play-off final last May.
"Last year I walked out with Brentford and I found out that Wembley is not a nice place when you're not a winner," he said.
"It took me a few weeks to overcome the disappointment and I want to taste success as well."