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Emery has steered Villarreal through to the semi-finals of the competition this season, setting up a clash against the club who sacked him in November 2019.
The Spaniard left Emirates Stadium after 18 months at the helm, the club having won 49 per cent of his 51 Premier League games in charge.
He did lead the Gunners to the Europa League final in his solitary full season in the job – they lost 4-1 to London rivals Chelsea in Baku – and admits a "little corner of his heart" still belongs to Arsenal, as well as the other teams he has coached in his career.
"It is a closed stage and I only have gratitude for having worked there," Emery said of his time at Arsenal.
"It is one more process in my career and I keep the good things that have helped me. Now I am very happy at Villarreal trying to contribute my knowledge, as I did at the time with Arsenal.
"For all the teams I have been at, I have my little corner in my heart for them. But now it is yellow and 100 per cent for this club."
Arteta was appointed as Emery's replacement and while they have done well in Europe in his first full campaign, domestic results have continued to be disappointing.
Arsenal have won just two of their previous eight outings in all competitions ahead of Thursday's game at Estadio de la Ceramica and sit 10th in the English top-flight table, meaning the two-legged tie with Villarreal is crucial to their hopes of securing a return to the Champions League next season.
Still, Arteta's predecessor has made clear the importance of having enough time to turn around the fortunes of a "great club" - something he was not afforded in the role.
"The Premier League is difficult. Arsenal's situation is natural and there were certain circumstances after Wenger's time. We fought for the Champions League and we reached the final of the Europa League," Emery told the media.
"Arteta's work takes time, you have to be patient, trust and sure that the club will find its usual place. That entails time, but I think they will make it."
He added: "You cannot say more than it is a great club, in terms of history and in the present. Arteta has a perfect marriage with the club since he was a beloved player there.
"You see a team with a clear identity, with a very 'Arsenal' idea. There have important players, some with great experience and others who are young players showing quality when given the opportunity.
"We are working to see how to counter them with different plans for the match."
A three-time winner of the competition while in charge of Sevilla, Emery will be aiming to guide Villarreal to a first major European final in the club's history.
However, they have failed to beat Arsenal in four previous meetings in Europe, including in both games of their Champions League semi-final in 2006.