Francesco Guidolin's side finished fourth in Serie A last season to set up the two-legged clash against Arsenal with the winners progressing into the lucrative group stages of the Champions League.
And Di Natale believes the game is a huge step up for Udinese.
Big ask: Antonio Di Natale admits Udinese face a tough task against Arsenal
'I think this is the biggest game of all existence of Udinese,' he told Gazzetta dello Sport.
'I can think of only the match against Ajax in 1997, but that was played in the UEFA Cup, while here we are in the Champions League.'
The 33-year-old Italy international is one of only as handful of experienced players in the Udinese squad but he feels the players around him are ready to accept the challenge of top level European football.
Italian job: Arsenal train ahead of their clash with Udinese
'For me they are no longer kids, it is an incredible feeling to play in this stadium. At club level, is the biggest challenge of my career - the satisfaction is comparable only with my national team debut, but here I am, leading a team of twenty-somethings as captain,' he added.
Guidolin praised Arsene Wenger, his counterpart at the Emirates who is banned from the touchline for tonight's game, but also reckons his team are ready to take on Arsenal.
Praise: Udinese boss Francesco Guidolin admires Arsene Wenger
He said: 'I like a football game where a coach can work on a long term project, but I think that Udinese is on its way to this direction.
'Do not expect me to stay 15 years in Udine, but this club is the place to work. We are all aware that we are facing a difficult season, but we are mentally prepared to face them.'
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