The Gunners almost overturned a 3-1 first-leg defeat at the Allianz Arena, only to eventually go out on the away goals rule.
|8/1||Cazorla is 8/1 with Bet365 to score first when Arsenal travel to Arsenal on Saturday
"The positive we take out of the game is that we gave a good account of ourselves against one of the favourites for the Champions League, winning at their stadium," he told Arsenal’s official website.
"The team can gain momentum from this. We have to use this game as an example for the future and try to play as well as we did against Bayern.
"The Swansea squad in general is strong but, above all, Michu. I know him from when we were very young and he is a player that can make a difference. He's scored a lot of goals."
Swansea go into the match on the back of a 2-1 defeat at the hands of West Brom, but Cazorla believes they will be a stern test at the Liberty Stadium.
“They are a team that will be difficult to play against," he added. "They play good football. Michael Laudrup has a philosophy that is great for the supporters to watch.
"We hope we can get the better of them because, for us, it's vital to get the points."