The Gunners missed their chance after being beaten by Chelsea in the Europa League final.
Asked if it was painful to be in the Europa League again, Arsenal midfielder Xhaka said: "Yeah, of course because I think we had a good season - if you take off the five last games in the Premier League.
"We had a second chance to come back and go to the Champions League but if you don't take your chances, you will stay in the Europa League.
"You can say a lot now but it is not the time to explain why and what happens. We lost today. I don't want to speak about the last five weeks or 10 weeks.
"I think today was a big chance for us, we didn't take it."