Arsenal are not missing out on anything not to be a major contender of the champions league just like Manchester City and Real Madrid have been over the years now. Arsenal are a great team and they have all it takes to win any trophy now. Just like you’ve mentioned, they just lack that winning mentality and that is what have caused them to not have win any trophy for themself till date despite the great performance they pull up every season. If they can have that winning mentality and their mind set at making sure that they get what they want by all means, they can win a trophy in the next season. I have so much believe in them but they always disappointed towards the end of the season.
The Gunner's young squad has been tested in mentality and has been built by Arteta in the last two seasons, Arsenal has consistently provided tough competition to City in their Domestic League. It's just that they haven't been able to realize their dream of becoming champions, so the winning mentality has not been formed for the Gunners squad. Arsenal have been at the top of the Premier League for two seasons, and in the new season Arsenal will compete again in the Champions League. However, it seems that Arteta's current priority is not the UCL trophy, but the Premier League. Currently the Arsenal team is getting more formed, their foundation is strong enough to compete again when all competitions start. but before that, Arteta still needs several newcomers, especially strikers who can be relied on as goal machines in his squad. Thus, Arsenal's chances are getting bigger in competition with Man City. Likewise in the UCL, even though their target is the Premier League. However, that doesn't mean Arsenal won't play their best performance in this competition. To be sure, we wait for the new arrivals that Arteta is targeting and their performance when the whole League starts.