Leading 2-1 in London, Benfica lost the second-leg of their round of 32 tie 3-2 and on aggregate 4-3.
Afterwards, Jorge Jesus said: "We lacked the ability, in the last minutes, to prevent both Arsenal's second and third goals.
"In those two goals, both Everton [for Kieran Tierney's goal] and Nuno Tavares [for Pierre-Emerick Aubameyang's header] had the play controlled and we could have prevented the finish. These are two important details, after the team played an excellent game against a great team.
"We conceded goals in two situations that have nothing to do with the team, because the team was all positioned in the back. We were easy in those two plays and we were beaten one on one."