But the 30-year-old admits there is a 'handicap' for the Gunners in that they always drop 'key points' during big games.
Arsenal are currently battling Manchester United for third place in the table and hold a two-point advantage over them. They can also still finish second but would need Manchester City to drop points.
Cazorla explained: "In our eyes, Arsenal are always a candidate to win the Premier League, the players really believe that. But, over the years, we have dropped key points in stadiums where we need to win. That’s our handicap and the thing we need to change."
Meanwhile, the 30-year-old has been reflecting on the north London side's season as a whole, identifying their 3-1 home defeat to Monaco in the Champions League as the 'low point' of their year.
Arsenal won 2-0 in France but played what Cazorla feels was their 'worst game' during the first leg, when Monaco put Arsene Wenger's men to the sword.
Despite the low point, though, the Spaniard does feel the Gunners' season has been a positive one overall.
He said: "Being knocked out of the Champions League was painful because we played our worst game of the year at home against Monaco. That was the low point. But, overall, it [this campaign] has been good."
Arsenal travel to Manchester United in the battle for third later today. Will the Gunners prevail as they did in the FA Cup or will Louis van Gaal's side do a Premier League double over them?