The former Gunners keeper accepted Huub Stevens' side were "outstanding" in the reverse fixture a fortnight ago but insists the north London club can win in Germany
The 42-year-old began his career with the German outfit back in 1988 and was present for the surprise 2-0 victory Huub Steven's team claimed but insists the Gunners can avenge the result at the Veltins Arena.
Similar to Arsenal, Schalke lost in their domestic league on Sunday but Lehmann believes the contest will be tougher for the Germans as they will assume the tag of favourites.
He told Spox: "We will see. The last time they played Schalke were outstanding. I watched the match in London and I don't think I've seen a team play as well as Schalke however unfortunately the just lost against Hoffenheim in the Bundesliga.
"But I'm looking forward to the match against Arsenal. I think Arsenal have to make up for that defeat and Schalke are faced with the new situation of being the hunted team.
"I would never say that any team is world-class at the moment because you only get world-class at the end of a season. You don't get it just after one or two third of the season."
Victory for Wenger's side will see them leapfrog Schalke to the top of Group B with a trip to Olympiacos and a home tie against the French champions Montpellier remaining.