In order to get this challenge, you need to complete Colosseum Warrior and Veni, Vidi, Vici achievements.
I've noticed you don't have to play in every arena, only in these locations:
Garden
Market
Castle
Oasis
Sandstorm
Rabbit
Wickerman
Arch
Black Forest
Stronghold
Courtyard
So play all of these locations in the arena game mode and the achievement will unlock.
I unlocked colosseum warrior achievement playing six or seven of the ten arenas.