Toni Lato and Dani Parejo were on target for Los Che as they saw off Villarreal 2-0 on Thursday to secure a comfortable 5-1 aggregate success in the last eight.
Marcelino had been less than impressed by his side's showing in the first
A last-four meeting against Arsenal – led by three-time Europa League winner and former Valencia boss Unai Emery – is their reward, and Marcelino insists the Premier League side must be considered as the favourites.
"Arsenal fight to get into the Champions League, with a coach who knows us perfectly, they are one of the favourites," Marcelino told a news conference.
"But anything can happen in the semi-finals. At the same time, [the final in] Baku is a long way away."
"We are proud of the performances of the squad, we are in a semi-final and in a final, and we are one win away from fourth," Marcelino added.
"Winning in Seville [against Real Betis on Sunday] would put us in a very good situation."