The 24-year-old was part of the squad convincingly beaten by Arsene Wenger's side in September 2012, although the visitors were already 5-1 down when Rodriguez came off the bench.
That loss at the Emirates Stadium was their heaviest during their comeback season in the top flight, and Rodriguez admitted the pain was still there over a year later.
Southampton are a different prospect this season with only one defeat in their opening 11 matches, and Rodriguez insisted they were heading to London keen to show how far they have progressed.
"Last year was a nightmare to get beat 6-1 there," he told the club's official website. "But we've got a point to prove and we'll go there looking to do that.
"Of course I'm looking forward to that game, it's going to be a great game and we're going to take it to Arsenal so it’ll be a great occasion."
A third away victory of the campaign for Mauricio Pochettino's side would see them move level on points with the league leaders.
‘Even though Kevin Keegan was my boyhood hero, we never really saw eye-to-eye. That was an underwhelming time for me – I felt on the outside’: Newcastle cult hero reveals disappointment over how things went under King Kev
Alexander Isak puts uncertainty over his Newcastle United future to bed amid fresh PSG and Arsenal links
