Arsenal lost to the French champions 3-1 on aggregate and 2-1 on the night, ending their dreams of winning the Champions League.
Arteta’s side are set to go another season without winning a trophy thanks to goals from Fabian Ruiz and Achraf Hakimi.
Bukayo Saka pulled on back for the vistors but it was too little too late for the North London club and they were eliminated from Europe’s premier club competition.
Still, Arteta believes his side deserved more from the tie, suggesting Arsenal had been better than PSG for large portions of both games.
Speaking to TNT Sports following the defeat, Arteta stated: “We were very close. For long periods of both games, we were much better than them.
“But we are not there (in the final) and that has to hurt. If we want to win this competition and go there, we need to realise that there are certain things that are on us and you shouldn’t just be understanding that we are out.”
PSG will face Italian giants Inter Milan in the Champions League final at Munich’s Allianz Arena on Saturday 31 May.