The Gunners face Group B leaders Schalke on Tuesday evening looking for revenge for the 2-0 defeat on home soil two weeks ago.
Victory in Gelsenkirchen would put them back on top of the group, though, and make them favourites to win it.
"We are professional footballers and we want to finish first," Sagna said. "We want to win the maximum amount of games. This is a big challenge now to be the best in the group.
"But as players we always want to be the best. It would mean we play against a team who finish second in their group.
"But at this stage of the competition every team is good. So we have to keep focused on our team, keep going and keep working hard."
Sagna also admitted he is enjoying the competition for the right-back role from Carl Jenkinson, who flourished while the Frenchman was recovering from a broken leg at the start of the season, and he is backing the youngster to become one of the best players in his position.
He added: "We always have the same battle and that is to fight for the shirt at Arsenal and bring the team to the top.
"I am very happy for him because he did very well. For me it will push me to give the maximum game by game.
"I have the opportunity now so I will give the maximum. If he is playing then I will push him to become one of the best right-backs and that is what he has the potential to be."