Man City are third in the league, 12 points behind Chelsea, and they could extend their lead over sixth-placed Arsenal to 10 points with a win at the Emirates on April 2.
"We need to go to Arsenal and win the game because we want to be part of the Champions League again next season," Sagna told reporters.
"It's going to be difficult to catch Chelsea -- it's maybe too far now -- but we have to go and give a good performance, stick together and keep working hard.
Arsenal have lost four of their last six games in all competitions, including a 10-2 aggregate defeat to Bayern Munich in the Champions League last 16, but Sagna expected them to regroup and come back stronger after the international break.
"Of course they (Arsenal) are disappointed because of the results, anyone would be with what's happened on the pitch," the 34-year-old French international added.
"But they have quality players, players who can react, players who are part of the Champions League every season. They can beat anyone. They remain good players.
"They will come back fresh, they'll have two weeks to think about their national teams and to reflect on the way they want to end the season, so they are going to be strong."
Man City also play Arsenal in the FA Cup semi-finals on April 23.
(Reporting by Hardik Vyas in Bengaluru; Editing by Peter Rutherford)
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