Saints have kept clean sheets in each of their last three outings, including one in the 1-0 victory against Manchester United at Old Trafford last time out.
But Koeman, who has opted for a 3-5-2 formation in those recent wins, believes Arsenal will be harder to stop.
“It’s a different test because football wise, attacking wise, to stop Arsenal is more difficult than, with all the respect, to stop Manchester United,” Koeman said ahead of Tuesday’s game.
“Defensive wise we need to be very good, because they have some great players.
“Alexis Sanchez is back and he’s one player that can win the game for the team on his own. You have to stop that.
“We will get space, then it’s always what you do with that space. We got it in the first half against Manchester United and we didn’t play really well in the final part of attacking.
“That we have to improve. We know what we have to do and the performance we need to win against Arsenal.”
And Koeman could well continue with three central defenders at Emirates Stadium on Tuesday evening.
“After a difficult run we spoke to the players and again we have players to change the system and that’s the most important,” the Saints boss added.
“That gives the boys maybe a little bit more confidence in defending. It’s true that we can play out of that system.”