This requires wrapping the arrow around a cylinder.
Make your arrow and drag it to the symbols panel, choose type "graphic".
Make a rectangle to extrude into a cylinder.
Select it and go to Effect > 3D > Revolve. Default settings are good. Select "Map Art", choose your arrow symbol and the side surface.
Place the arrow onto the white part, size and position to fit. Check Preview and check "Invisible Geometry".
"OK" out of that screen back to the Revolve screen. Revolve and position the cube until you like the position of the arrow.
"OK" out of that, expand and ungroup the results until the shapes are individual.
Select your shapes, group and go Effect > 3D > Extrude.
Give it some depth and some perspective and rotate the cube until you are satisfied.
Expand and ungroup the results.
Apply custom gradients to each shape to make it look like the example.