/arch only affects code generation for native functions. When you use /clr to compile, /arch has no effect on code generation for managed functions.
The __AVX__ preprocessor symbol is defined when the /arch:AVX compiler option is specified. For more information, see Predefined Macros.
To set the /arch:AVX compiler option in Visual Studio
Open the Property Pages dialog box for the project. For more information, see How to: Open Project Property Pages.
Select the C/C++ folder.
Select the Command Line property page.
In the Additional options box, add /arch:AVX.