With Arsenal seemingly out of contention for the Premier League title, the FA Cup is now Arsene Wenger's only hope of silverware after nine years without a trophy.
Wigan on the other hand, have the chance to move a step closer to defending their crown.
The Championship outfit have upstaged top-flight clubs Manchester City, Cardiff City and Crystal Palace en route to the final four and Rosler said the onus is firmly on Arsenal, who could finish outside of the top four following their 3-0 defeat to Everton last week.
"We're going to Wembley and we're meeting a top team in the Premier League," said Rosler, who has guided Wigan to fifth in the Championship standings.
"We are the massive underdog but we have presented ourselves so far in a very, very good way.
"We've made our supporters proud and we're going to Wembley; we can't lose, we only can win.
"Everybody highlighted the fact Arsenal now really have to go for the FA Cup and win the FA Cup.
"Their own players said that this week and obviously that puts a little bit of extra pressure on Arsenal."
Arsenal have won three of the past four games between the two teams, including last year's 4-1 league triumph at Emirates Stadium.
Get the best features, fun and footballing frolics straight to your inbox every week.
Thank you for signing up to Four Four Two. You will receive a verification email shortly.
There was a problem. Please refresh the page and try again.