The Gunners were humiliated 4-1 in the final by Chelsea after a second half collapse.
However, Xhaka knows that he must focus on international duty, as Switzerland prepare for the Nations League semi final with Portugal.
"It was disappointing to lose the final, we wanted to win the title and move up to the Champions League, but it didn't work out," he said to reporters.
"However, since arriving here in Portugal I have focused fully on the national team.
"What happened, happened.
"We look forward now and I hope to win a title with Switzerland."