This is the third successive season that the Gunners, winners in 2007, have lost in the semi-finals.
And there were no complaints from recently appointed manager Shelley Kerr.
"I'm disappointed but realistic," said Kerr. "Over the two legs Wolfsburg deserved to go through to the final.
"We didn't play well in the first half and we could have been three goals behind by half-time.
"But after we equalised we started to play a bit and I thought we were in with a right good chance.
"We showed good character in the second half, but Wolfsburg got all the fine details spot-on and they were the better team."