Leading 1-0 from the first leg, Arsenal were pegged back by Pape Abou Cisse's strike six minutes after the break, which forced the tie to extra-time.
Pierre-Emerick Aubameyang's overhead kick put the Gunners ahead in the tie late in the second half of extra-time, but Youssef El Arabi popped up in the 119th minute to stun Arsenal.
In an interview with the media after the game, Arteta conceded the defeat against the Greeks has left a bad taste in his mouth.
"It hurts big time. We had a lot of hope in this competition,” the Spanish tactician said.
“It was a great way for us to be able to go to Europe and as well, it's a very beautiful competition to try to win.”
“I think we did a lot of positive things in the game, I think we created a lot of positive chances to win the game but if you concede two set pieces in a tie like this you put yourself in big trouble.”
"I just want to concentrate now on lifting those players and getting back the belief, and convince them that there is still a lot to play for, and move on.”
“It is part of this sport that a big disappointment can happen and it happened tonight. We have to learn and react as a team and as a club.”
"I'm the first one, I have to lift them, and it’s my job. That's the first thing I have to do. First of all we have to digest it because it's very, very painful tonight."
