Atletico held on for a 1-1 draw in the opening game in London last week and Diego Simeone's side are heavy favourites to make the final in Lyon later this month.
Here, AFP Sport looks at five talking points ahead of the clash in Madrid:
Wenger braced for last Arsenal game in Europe
If Wenger had been able to handpick the setting for potentially his last European match in charge of Arsenal, Atletico's Wanda Metropolitano would likely have been low down the list. To avoid defeat, his team will have to deliver the sort of break-out display they have managed in the FA Cup in recent years, against Manchester United, Manchester City and Chelsea. Wenger got closest to a European trophy in 2006 when his side were beaten in the Champions League final by Barcelona and in 2000, when they lost in the UEFA Cup final to Galatasaray. A glorious farewell is still within reach.
Atletico impenetrable at home
Atletico are unbeaten at home in La Liga this term and have not conceded a single goal on their own patch since January. The success of Simeone's side has been based on work rate and discipline but Arsenal can draw encouragement from last week's opening leg, when they created several excellent chances. The key in Madrid is likely to be patient. Over-exert, and Arsenal may leave themselves open to Atletico's all-too familiar combination of absorb and counter. But it will take a certain level of attacking intent to break down arguably Europe's most resilient defence. Arsenal must find the perfect balance.
Lacazette to prove his worth
With Pierre-Emerick Aubameyang cup-tied, Alexandre Lacazette is again expected to start up front for Arsenal and the Frenchman will have to be more clinical than he was in the first leg. Lacazette scored the opener but missed a number of chances to give his team the lead and he has particular motivation against Atletico, who tried to sign him last year before their transfer ban kicked in. "He is a fantastic player with great speed and movement," Simeone said. "What distinguishes him most is his speed of execution in the final third."
Costa back for Atleti
Diego Costa missed the opener in London with a hamstring strain but the striker is expected back, having come through Sunday's win over Alaves unscathed. The striker's return is a huge boost for Atletico. Costa's tenacity will be well-known to Arsenal but he also brings the best out of partner Antoine Griezmann, who has enjoyed a sharp upturn in form since the Spaniard joined in January. If Costa can martial Laurent Koscielny and Shkodran Mustafi, Atletico will hope Griezmann can capitalise on the extra space.
Simeone constrained to the stands
Simeone is never one to hold back on the touchline, often celebrating tackles and blocks just as enthusiastically as a goal. He overstepped the mark, however, last week and was sent off, meaning he will have to watch from the stands in the second leg. Atletico will certainly miss their coach and motivator on the line. It remains to be seen how much. "The stadium must know we need them, we need them to live the game like our coach lives it," captain Diego Godin said. "That will help us a great deal."