The Spain midfielder helped the Gunners lift the FA Cup last season, but says he could feel something holding them back at Wembley.
Arsenal have struggled in big games under Arsene Wenger, until recently when the Frenchman has adopted a more withdrawn approach in the match with City.
“The key is belief," Cazorla told Sport Magazine.
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Personally, I think that our squad is as good as Chelsea, Liverpool, Manchester City or Manchester United
"We are a good team, but when we played the FA Cup final last season, I could feel among the fans and among the club, some kind of fear to lose.
"That is something that we should remove from our minds now.
"Personally, I think that our squad is as good as Chelsea, Liverpool, Manchester City or Manchester United.
"We don’t envy their squads and we have the quality to fight with them face to face. It’s down to us to make that step forward.”