Red Bull Salzburg will host the first leg on April 26 and face a trip to France on May 3.
They will play the first leg against AS Roma at Anfield on Tuesday 24 April, before the return leg in Italy on Wednesday 2 May.More news: Trump orders examination of USPS operations, finances
The Gunners saw off CSKA Moscow in the previous round.
Danny Welbeck and Aaron Ramsey both scored late in the game for Arsenal to calm nerves after CSKA had raced into a 2-0 lead on the night. Lazio capitulated, conceding three times in five second-half minutes to lose 4-1 and 6-5 on aggregate as Salzburg became the first Austrian side to reach a European semi-final since 1996.
And Le Saux believes two-time Europa League winners Atletico - second in La Liga, 11 points behind unbeaten Barcelona - will provide the sternest of tests for the north London side due to their thorough game-plan and defensive organisation.
Atlético qualified for the Europa League semifinals after eliminating Sporting CP with a 2-1 score on aggregate.
This will be an open draw in which no teams are seeded.