Arsenal made it all the way to the final in Baku last season, only to be beaten 4-1 by Chelsea on a devastating night for them.
Luiz, who moved to Arsenal last summer, played in that game for Chelsea and in doing so won the Europa League for the second time in his career.
The Brazilian is now hungry to make it a hat-trick of wins with Arsenal, who take on Olympiacos in Athens on Thursday in the first leg of their last-32 tie, and he believes the squad have the talent to go all the way this season.
“I think we have the quality for that, but step by step,” he said.
“It’s not easy, Olympiacos have a great team, they did amazing against Tottenham, they did amazing against Bayern Munich.
“It’s a pitch where I have been many times and it’s always difficult, so it’s up to us to continue in the right way, being humble and improving our game.”
Arsenal face a difficult challenge in Athens as they take on an Olympiacos side who have only lost once at home all season.
That defeat came at the hands of Bayern Munich and the likes of Tottenham have failed to win at the Karaiskakis Stadium after travelling there earlier on this season in the Champions League.
“It’s an amazing place,” said Luiz. “When you play football, this is the type of place you love to play.
“I think it’s a great country, it’s a country where you enjoy to play football. It’s not just for vacation. It’s a difficult place to play football, but also it’s a nice game.”