The Spanish coach was speaking at the press room of the Ciudad Real Madrid ahead of the matchday 29 league clash at the Santiago Bernebeu.
"We approach it with great enthusiasm and excitement," said Arbeloa.
"We know it's a very important match for us because of what these three points mean, for the fans, for the great atmosphere we've been experiencing in the stadium in recent matches, and for the excitement that has been created."
Los Blancos head into the match on the back on four consecutive victories in all competitons including eliminating Manchester City from the UEFA Champions League Round of 16.
"It's one of the best matches you can experience as a player, as a spectator, and surely also as a coach," added the 43-year-old mentor.
"We're eager to see a Bernabeu fully committed and are very excited as we come into this match with a strong desire to play against a fantastic team. We approach it with maximum enthusiasm and anticipation."
Real Madrid are currently four points adrift of log leaders Barcelona and will need to win to maintain the pressure with only ten matches left.