The Spanish coach was speaking at the press room of the Ciudad Real Madrid ahead of the matchday 29 league clash at the Santiago Bernebeu.
"We approach it with great enthusiasm and excitement," said Arbeloa.
“We know it's a very important match for us because of what these three points mean, for the fans, for the great atmosphere we've been experiencing in the stadium in recent matches, and for the excitement that has been created.”
Los Blancos head into the match on the back on four consecutive victories in all competitons including eliminating Manchester City from the UEFA Champions League Round of 16.
"It's one of the best matches you can experience as a player, as a spectator, and surely also as a coach," added the 43-year-old mentor.
"We're eager to see a Bernabeu fully committed and are very excited as we come into this match with a strong desire to play against a fantastic team. We approach it with maximum enthusiasm and anticipation."
Real Madrid are currently four points adrift of log leaders Barcelona and will need to win to maintain the pressure with only ten matches left.
FC Barcelona and Real Madrid strengthened their La Liga title pushes with two very different victories, as Barcelona edged past Rayo Vallecano thanks to defensive resilience, while Madrid survived a chaotic derby to beat Atletico Madrid.
Villarreal CF produced a ruthless first-half display to secure a commanding 3-1 victory over Real Sociedad, with manager Marcelino Garcia Toral praising his side's attacking intent and consistency after the final whistle.
Ernesto Valverde has confirmed he will step down as Athletic Bilbao manager at the end of the season, bringing an end to his third spell in charge of the Basque side and closing a defining chapter in the club's modern history.
Real Madrid have received a welcome boost as several players returned to training ahead of Sunday's Madrid derby against Atletico at the Santiago Bernabeu Stadium.
