After beating holders Real Madrid comprehensively in the quarter-finals, the north Londoners might well have fancied their chances of going all the way this year, but for the reactions of Paris Saint-Germain goalkeeper Gianluigi Donnarumma, they may well have done so.
The giant Italian made a number of high-quality saves, a few of which undoubtedly stopped the Gunners from scoring more than just Bukayo Saka's late consolation.
Another semi-final failure - their fourth in a row in major cups (2020/21 Europa League, 2021/22 League Cup, 2024/25 League Cup and 2024/25 Champions League) - is their longest ever run at this stage of competitions.
That might mean that questions are again asked of Arteta's suitability in the head coach's role, given that two Community Shield wins and an FA Cup that was won in his first season in the job is all that the club have to show for their significant outlay.
Historically, the Gunners haven't always been at their best in this competition, given that Wednesday night's match was their 201st in the competition and the most of any side who’ve never lifted the trophy.
Perhaps then, the issues run quite a bit deeper than Arteta banging the drum regarding process and a certain way of working.
Luis Enrique has transformed PSG this season
Luis Enrique on the other hand has transformed PSG, who have reached just their fourth major European final after the 1996 and 1997 Cup Winners’ Cup finals and the 2020 Champions League final.
The Parisiens will believe that they have every chance of finally getting their hands on the 'cup with the big ears', however, they've reached the final by having lost five games along the way.
That's only happened twice before - Bayer Leverkusen in 2001/02 and Juventus in 2002/03 - and neither of those ended up winning the trophy.
Fabian Ruiz set the seal on a famous PSG win over the Gunners just before the half-hour mark, and in so doing became the first Spanish player to score his first-ever UCL goal in a semi-final match. It came from his 60th shot in the competition in his 46th appearance.
Once Achraf Hakimi doubled the lead, the writing was on the wall for the visitors, even if Bukayo Saka managed to score his 10th Champions League goal in just his 18th appearance in the competition (the only Englishman to reach 10 goals in fewer games is Harry Kane with 12).
Positive aspects to Arsenal's play on the night
Arsenal will clearly be disappointed not to have progressed but there were still some positive aspects to their play which shouldn't really be overlooked when conducting a detailed review of the game.
They produced an incredible xG of 2.91 against the Ligue 1 champions, the most by a team against PSG in a Champions League game this season. Furthermore, 19 shots were also their most in a knockout match since having 20 away at Barcelona in March 2016.
On another night, the PSG keeper doesn't turn in a man-of-the-match performance and Arsenal win comfortably. Such are the fine margins at the elite end of the game.
In his post-match press conference, Arteta noted that: "100%, I don't think there's been a better team (than Arsenal) in the competition from what I have seen, but we are out. This competition is about the boxes and in both boxes are the strikers and the goalkeepers and there's were the best in both games."
That was met with an immediate rebuttal from former Gunners manager, Arsene Wenger.
"With Arsenal, we saw the recurrence of being unable to score goals... Overall, in the two games, I would say they (PSG) were better than Arsenal, had more chances and were never really in danger, so congratulations to them," he said.
Little to choose between the two teams
On Wednesday night, there was certainly little to choose between them.
Winning possession back on 47 separate occasions (46 for PSG) shows a doggedness to Arsenal's play that has sometimes been missing, and their 355 passes were only 35 more than their hosts. A collective pass accuracy of 79.7% just shaded PSG's 76.3% too.
Everyone also understands how well the Gunners can pass the ball and on the night the vast majority of their players had completion stats in the high 80s. However, that means nothing without an end product.
Possession stats were close - 54.1% to 45.9% in Arsenal's favour - though the one area where the visitors should be disappointed is their inability to convert any of their 27 crosses into goals. The argument for the club to bring in a natural centre-forward will surely rage again this summer as a result.
Saka's 12 touches in the PSG box were by far the best in the match, with Gabriel Martinelli also managing six, Declan Rice five and four touches in that area from Leandro Trossard.
Only Khvicha Kvaratskhelia and Desire Doue, with five touches in Arsenal's box, made anything like the same inroads, with the former also crashing a shot against the post.
That many of the Gunners' forays led to nothing - just four of their 19 shots were on target - highlights one of the major issues that Arteta needs to solve.
When the dust settles too, the plain fact is that it was PSG that took their chances and, over the two legs, they were the better team.
Arteta's thick skin and attempts to shut down certain narratives could be viewed as a credit to him given that he won't be swayed from his position on certain issues, but it could also prove to be his undoing if he's not careful.
