The last 16 tie against PSV Eindhoven looked to be heading into extra-time, with the Gunners in the ascendancy having levelled the aggregate scores when Brazilian defender Alex netted an own goal.

However, disaster struck with just seven minutes left when Alexander Hleb conceded a needless free-kick on the left touchline, from which the defender - who is jointly-owned by Chelsea - powered in a header to equalise on the night and put the Dutch side through to the quarter-finals.

It was a bitter pill to swallow for Arsenal, who have endured a miserable fortnight. They lost to Chelsea in the Carling Cup final, are out of the FA Cup and have to cope with another injury to captain Thierry Henry.

Ljungberg admits defending set plays once again proved their own undoing.

"We made a mistake and they scored. Again it was a bit nervy, and it is not the first time something like this has happened," the midfielder said.

"You need to be disciplined.

"We spoke about not giving away any free-kicks before the game.

"We knew that they would defend and would not create a lot, so it was important not to give away any free-kicks, where they could put up Alex or people who can go up for the headers.

"We had to concentrate for 90 minutes and we did not so we were knocked out, which is very hard to deal with."

Arsenal had dominated most of the possession, and would have been comfortably through to the last eight had Emmanuel Adebayor, Julio Baptista and Cesc Fabregas shown more composure in front of goal.

Ljungberg added: "All credit to PSV because they are a good side - but we should still win the game and go through.

"We had some chances that we should have scored and some half-chances. It shows there are small margins.

"We had opportunities to kill off the game and had them on the brink of defeat. We did not and eased off a bit.

"When they equalised with five minutes to go, it killed the rest of the game."

The beleaguered Gunners will now focus on qualifying for next season's elite European club competition by winning their tussle against Liverpool for third place in the Barclays Premiership.

However, Sweden international Ljungberg, 29, knows it will take some time for the bitter disappointment of last night's result to fade, with their next match not until next Wednesday at Aston Villa.

"The Champions League was the big one for us," he said.

"Last year we thought we deserved to win it so this year we thought we could have a good crack at winning it. We definitely did not do that.

"It is going to be tough for the next couple of days, dealing with the disappointment - but we then have to start focusing again because we need to have a Champions League spot and that is where we go."

Over the last 11 days the Gunners have been beaten by Jose Mourinho's side in the Carling Cup final and sent tumbling out of Europe and the FA Cup, while they have no chance of winning the Premiership.

It has been a depressing spell and in a fresh blow Wenger - who branded PSV a one-man team - revealed skipper Thierry Henry had suffered a groin injury.

He said: "Alex won PSV the tie alone, which is only a bit of an exaggeration.

"He kept their defence very tight and saved them every time. He made the difference at set-pieces and dominated our players in the air easily.

He continued: "This defeat is difficult to take and it's a massive disappointment.

"We feel it's a cruel night because we had chances to score the second goal. We could not take the chances we made in both halves.

"This was a repetition of the first leg and we were less sharp than two or three weeks ago because all the games are catching up with us.

"I don't feel we failed in the Carling Cup. We're out of the FA and that was a big disappointment, but is minor compared to this.

"Now we have to secure a place in the Champions League because we have a responsibility to finish as high as we can and try to overtake Liverpool.

"There are a lot of positives to take but the two weeks have been horrendous."

The misery of Arsenal's European demise was compounded by the news Henry will undergo a scan after sustaining a fresh injury tonight.

Wenger said: "Thierry has torn his groin and a stomach muscle and he will be scanned. It's sad for him. It has been a difficult season for Thierry."

Henry had spoken of his frustrations at being sidelined: "I can count on the fingers of one hand the times I have played this season without feeling that pain," he wrote.

"That has been the story of my season, I have not been able to play at my best - but I have got by a few times just on my experience and knowledge, rather than my power that you usually see."