The North London outfit came from 4-0 down to clinch a 7-5 win in extra time over the Royals in the fourth-round tie at the Madejski Stadium.
"I did not think about when we had to equalise, I just felt that if we had the chance and God will help us, we will make a draw!" Arshavin told the club's official website.
"He helped us and that's why we scored in the last minute. I have lost twice 7-1, once I lost 8-3 and once I won 9-3 and now 7-5.
"But this game was one I will remember always because it was from 4-0 down. I don't think anyone here believed that we could come back. But we did it and we deserved to win."
Arsenal turn their attentions back to the Premier League this weekend as the prepare to go up against Manchester United at Old Trafford.