The midfielder impressed during his debut campaign with the Gunners last term – scoring some vital goals when he filled in as a striker due to the team's injury problems – and explained that the players are desperate to shed their nearly men tag.
Merino told TNT Sports: "(It is) a huge season for us. Obviously, we've been doing great the past couple of seasons. Our aim is always to win every single game, but the goals have to be improving our ceiling, reach new heights, try to get to a different level now.
"We have an amazing squad, we have an amazing club, not only the players but the staff as well, so we'll build for big things for sure.
"Winning is really hard in this country, in this league, because you can see how difficult and how good other teams are as well. Just focus on ourselves, trying to improve and raise the bar every single day; those are the main goals for us this season, for sure."
Merino claims that the Arsenal players are putting pressure on themselves as they bid to win the club's first silverware since 2020.
The Spanish international said: "I think pressure is something you have to value, but the most important pressure is the one we put on ourselves.
"You should see us train every single day, how the gaffer pushes to be even better, to grow, to keep getting fitter, to understand the way that football works now better.
"So I think the biggest pressure is the one we put on ourselves, not only to win but to get better."