I can't speak on behalf of everyone, but I can vouch for Lightning. I know he gets a bad rep around here but he's definitely a level-headed Arsenal fan. Maybe too much so. When it comes to things like the Europa League, the COC, etc.—it's never that we don't want to win it, it's that when you have a manager as stubborn as Wenger, and a squad as perpetually thin and injury-prone as ours, a stadium to pay down, etc. it all comes down to opportunity cost. Of course everyone wants to win everything—but it doesn't take a genius to notice that Arsenal's great run of forms at the end of the last two seasons have come because the team has only played once a week.
We aren't capable of competing on every front so it comes down to asking do we want to go all in on a smaller cup and jeopardize our already precarious 4th place or do you hold onto what you already have. Liverpool may be third now, but I don't think anyone realistically thinks they'll be back in the CL next season. Or when Suarez leaves the season after. So then what? Once you drop out of the CL, you don't get opportunities to get back in.
We could never have signed Ozil without still being in the CL, despite all those trophyless years. Whether that's merely a false dawn or not remains to be seen, but it's simply near impossible to make those purchases w/o CL football. So, should Wenger ever move on (which looked to be a very likely possibility in the summer), we at least want to have a platform to build off of in the future. It's not arrogance, it's just being realistic.