Arsenal's hopes of silverware, and bid to win the competition for the first time, ended following their 2-1 defeat at the Parc des Princes on Wednesday, leaving Arteta's men in tears.
The Gunners were already trailing by a goal in the semi-final, and despite forcing goalkeeper Gianluigi Donnarumma into two fine saves inside the first 15 minutes, they fell further behind when Fabian Ruiz opened the scoring after 27 minutes.
Achraf Hakimi killed the tie in the second half before Bukayo Saka scored what would prove only a consolation in a 3-1 aggregate loss.
"We had a load of chances we couldn't score. We had unbelievable chances, in another two games we may score five goals," Arsenal midfielder Declan Rice told streaming portal DAZN.
Arteta went further and told TNT Sports: "I don't think there has been a better team in the competition so far from what I have seen, but we are out."
And later at his press conference when asked if he felt the best team had lost, he added: "Yes, and I am saying that because they (PSG) just told me that.
"We deserved much more. When you analyse both games, the MVP (Most Valuable Player), has been their goalkeeper.
"The result should have been very different. It gives me so much pride, but at the same time I'm so upset and so annoyed that we didn't manage to do it."
Arsenal's sole hope of silverware rested in Europe after Liverpool were crowned Premier League champions with four matches remaining.
The Gunners have finished runners-up for the past two seasons in the league, and head into their final three matches again occupying second place.
Arteta has revived Arsenal's fortunes on both the domestic and European stage with this their first Champions League semi-final appearances in 16 years. But his five-and-a-half-year tenure has yielded just one trophy - their 2020 FA Cup triumph.
Paris Saint-Germain lost their first Champions League final 2020 in Lisbon against Bayern Munich, and now hope to do better in Munich's home stadium on May 31, when they face three-time champions Inter Milan, who won a semi-final tie for the ages 7-6 on aggregate against Barcelona the previous day.
"I said from the first day that our goal was to work hard enough to be in a position to make history — and that remains our goal," PSG coach Luis Enrique said.
"This is a project that has evolved since last year, and I feel very comfortable here as a coach because I have the freedom and support from the president to build what we want..."
A treble is possible for the Qatari-owned club, who have clinched the Ligue 1 title and are in the Coupe de France final under Enrique - who already has a treble from 2015 while at Barca.
"We believe in our coach and ... in our talented, young, hungry players," PSG president Nasser al-Khelaifi told CBS Sports.
"They fight for the team, they die for the jersey, that's the most important, for the city, for the club.
"There's still one match to go. ... we are not done."
With AP & DPA.
9°C