Mkhitaryan aiming for glory with Europa specialist Emery
Emery won the trophy in three consecutive seasons with Sevilla and his first game in Europe as the Gunners' head coach ended with a 4-2 victory against Ukrainian Premier League side Vorskla.
Pierre-Emerick Aubameyang scored a goal in each half, with Mkhitaryan laying on his second and a header from Danny Welbeck before substitute Mesut Ozil got in on the act.
Fine finishes from Vladimir Chesnakov and Vyacheslav Sharpar gave Vorskla late consolation in a match where they were resoundingly second-best after Aubameyang's 32nd-minute opener.
"He [Emery] has won this competition three times and it's very important for us, for Arsenal, because we're playing in this competition to win," Mkhitaryan told reporters.
"We're not just playing to participate. It's very important because if you win then you can get a spot for the Champions League, so we're trying to win every game and we will see where we get to."
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Aubameyang enjoyed a restorative showing after only finding the net once during the first five Premier League games of the season, but the former Borussia Dortmund star was frustrated by his team-mates' late lapses.
"I think we played well in the first half and at the beginning of the second as well and we scored four goals," he told reporters, with Everton up next in the English top flight on Sunday.
"But we need to improve and fight to not concede goals like we did in the last few minutes."