The Canaries came close to taking three points from the Emirates Stadium in April, but the Gunners scored three in the final seven minutes to win.
Olsson in February helped Blackburn to a FA Cup fifth-round victory over the Gunners and plans to take the same mentality into Saturday's match against the Barclays Premier League leaders.
"We have nothing to lose," the left-sided Sweden international said.
"Everyone thinks we're going to lose to Arsenal. We've just got to turn it around and hopefully get three points.
"We'll just go out and play our game and see what happens."
Rovers' winning strike came through Colin Kazim-Richards in the 72nd minute on the break after they absorbed pressure heaped on them by the Gunners.
Olsson also expects Norwich to have to endure sustained attacks this weekend.
"We sat back and were hoping they weren't going to score too many goals," added Olsson, recalling Blackburn's win.
"We got our chance at the end and we defended well as a team. That's what we have to do now as well.
"Patience. They're going to put pressure on us, create loads of chances. "We've just got to keep calm and hopefully catch them on the counter attack."
Olsson believes in Gary Hooper, Ricky van Wolfswinkel and others, Norwich have the players to strike when given the opportunity.
The left-back added: "Hopefully it will show now on Saturday. I think we do."
The match comes on the 20th anniversary of Jeremy Goss' memorable volley and the 2-1 win at Bayern Munich and the Canaries could do with a win.
Chris Hughton's men travel to the Emirates Stadium in the bottom three of the Premier League, but last season's campaign was kick-started by a defeat of Arsenal.
It could be deja vu as, just like this time, that Carrow Road win was in the eighth Premier League game and also followed a loss to Chelsea and an international break.
Olsson says the players are relaxed about the lowly league position, for now.
He added: "It's still the beginning of the season. We can't think about that too much.
"We just have to go out and play at 100 per cent."
After seven years at Blackburn, Olsson moved to Carrow Road in the summer on a four-year contract.
The 25-year-old is confident in his ability and believes he should be the first-choice left-back, ahead of Javier Garrido.
"I was at Blackburn for a long time, but I think I needed a change," said Olsson, who has impressed in recent weeks against Stoke and Chelsea.
"Garrido's been doing all right, but I think I've been playing well and I think I should be starting.
"He (Garrido) thinks the same, but it's the gaffer who picks the team.
"I've been feeling good for a while now and hopefully I'll start against Arsenal. Hopefully I'll keep the position for myself."