City cruised to a 3-0 win against an insipid Gunners side at Wembley on Sunday to collect their first trophy under Pep Guardiola.
City will now hope to re-establish a 16-point lead at the top of the Premier League when the sides meet again later this week but Gundogan is not taking another victory for granted.
The midfielder said: "We know Arsenal are able to play, they have a strong team. It is going to be challenging and we need to be ready. It won't be easy. It is just maybe a bit weird to play them twice in four days."
The close proximity of Thursday's game meant City had little time to celebrate their success at the weekend.
The busy schedule then continues with a home game against Chelsea on Sunday and the second leg of their Champions League tie against Basel next week.
Gundogan added: "There are still plenty of huge games to play and the next one is on Thursday against the same opponent. It doesn't stop.
"There is not really a break to relax or enjoy. Now we try to prepare for the game on Thursday and try to get another win."