Pep Guardiola's side will take on the Gunners at the Emirates Stadium after the international break on Sunday 2 April, with both teams vying for one of the top four spots in the Premier League table that would see them secure a place in the Champions League next season.
City currently sit in third place in the league standings - seven points above sixth-placed Arsenal - while fellow Champions League hopefuls Liverpool are one point behind Guardiola's side. Manchester United are in fifth place, five points behind City.
With competition for a place to play in Europe's elite competition expected to go down to the wire, Sagna believes City's game with Arsenal could prove crucial in determining which of the two clubs secure a top-four spot this term.
"We need to go to Arsenal and win the game because we want to be part of the Champions League again next season," Sagna said.
"It's going to be difficult to catch Chelsea - it's maybe too far now - but we have to go and give a good performance, stick together and keep working hard."
Arsenal have lost four of their last six games in all competitions, most recently, to West Brom in the Premier League.
And speaking about Arsenal's poor record of late, Sagna added: "Of course they (Arsenal) are disappointed because of the results, anyone would be with what's happened on the pitch.
"But they have quality players, players who can react, players who are part of the Champions League every season. They can beat anyone. They remain good players.
"They will come back fresh, they'll have two weeks to think about their national teams and to reflect on the way they want to end the season, so they are going to be strong."