Arteta says the pain of the night in Budapest must eventually be transformed into the energy that drives the club to go further next season.
Arsenal led through Kai Havertz's goal in the sixth minute before Ousmane Dembélé's penalty on the hour levelled for the holders. The match finished 1-1 after extra time, with Eberechi Eze and Gabriel Magalhães missing in the shootout as PSG won 4-3 to retain the title.
Arteta was emotional pitchside, addressing both the result and the larger context of a season that delivered Arsenal's first league title in 22 years.
"But now, I think it's pain," he said. "We have to feel it, we need to go through that. And at some point, we're going to have to try to turn that feeling into fuel to improve and reach another level."
He continued: "I know the circumstances that we've done it and everything that has happened inside the team to achieve what we want. If I said one million times thank you, it's not going to be enough. And not because what we've done by winning the Premier League after so long, or reaching a cup final, or to play in the manner we've done in the Champions League final and be so close to winning it — it's because of the moments that we have lived together every single day. The connection in the team is something that we have felt between each other."
Arteta pointed to what he believes were moments when the result could have turned. A potential penalty for a foul on Noni Madueke was waved away after review. Arsenal also had the better of the early period and created chances before PSG grew into the game.
"We started the game so well. We scored early and then again had moments, moments that were a bit different to the ones that we wanted to expect. And then not much happened — they didn't have any clear chance apart from two times that we gave the ball away. There's another big decision on Noni, on the penalty that is not given. And when you go to the penalties, anything can happen. Unfortunately, we weren't good enough to put the game away and win the Champions League."
The players will be at the front of the title parade through Islington on Sunday and Arteta acknowledged the importance of the occasion. "The supporters deserve to be close to the team and give them the opportunity to express how they feel about each of the players and what the team has done. Now it's difficult to think about that, but hopefully tomorrow will be better."