Pierre-Emerick Aubameyang's acrobatic finish in the second half of extra-time appeared to have put Arsenal on course for qualification after Pape Abou Cisse's header had sent the tie into an additional 30 minutes.

The early exit could end up costing the club tens of millions in lost revenue and throws serious doubt on whether they will be in European competition next season.

Arteta's side sit ninth in the Premier League and face a tough end to the campaign, with fixtures against four of the current top-six still to play.

Arsenal had appeared to be turning a corner following Arteta's appointment in December, winning three games in a row before this latest setback.

But now the Spaniard knows it is key for his squad to keep their collective heads up and not allow the entire season to end in disappointment.

"I'm the first one, I have to lift them, it's my job," he said.

"That's the first thing I have to do. First of all we have to digest it because it's very, very painful.

"I just want to concentrate now on lifting those players and getting back the belief, and convince them that there is still a lot to play for and move on.

"It's part of this sport that a big disappointment can happen and it happened here. We have to learn and react as a team and as a club."

While Aubameyang came close to once again providing the heroics with his finish, the Arsenal captain was then guilty of missing a fine chance moments after El Arabi's last-gasp goal.

"It was a crazy game and this is the Europa League," he said.

"I think it was a tough game for us. I think Olympiakos played well and it was tough to remove their block and find spaces.

"We had the chance to score in the last minute as well and I missed it. I feel a bit sorry for the team and the fans, but I think this can happen."

Arsenal now face Portsmouth at Fratton Park in an FA Cup fifth-round clash on Monday night before returning to Premier League duties at home to struggling West Ham.