The Gunners and the Spanish capital club made it to the last four of the Europe second-tier club competition this season. It is the only realistic chance of Arsene Wenger's side to win silverware this term.
Arsenal's defensive record has come under scrutiny as they already conceded 45 goals in the league, which is the highest amongst the top six Premier League clubs. Newcastle came from behind to beat the north London club 2-1 in their last fixture, with Perez getting his name on the scoresheet.
"Of course," Perez told the Spanish publication AS, when asked if Arsenal's defensive record can be the key in the Europa League semi-final clash.
"Atlético take very good advantage of the chances they have. He knows how to handle counterattacks and Arsenal can have a bad time."
Despite being critical of Arsenal's defense, Perez believes Wenger's side still have a chance of making it to the final of the Europa League because of their impressive form at home.
"They are a great team at home and they score several goals. That game at the Emirates is going to be important and obviously they will have opportunities," Newcastle forward explained.
"I've seen them do important things there. Do not underestimate them. They are not having their best year in the league, but they are a great team and surely they will also have chances to progress."
Perez arrived at Newcastle from Tenerife for €2m in 2014. He has scored 27 goals and registered 16 assists for the Tyneside club in the Premier League and the Championship. The attacker believes he should be worth around
"I do not know. I would like to think about €12 or €15 million. The market is going crazy. The prices skyrocket. We are seeing spectacular things, but that would be the case. It would be a big difference in a matter of four years what it cost and what it could cost," he stressed.
"But I do not think much about that. I want to finish the season as well as possible and I am very happy at Newcastle."