PSG won 4-3 in the shootout after a 1-1 draw at the Puskás Aréna, with Kai Havertz opening the scoring for Arsenal before Ousmane Dembélé equalised in the second half. Neither side could find a winner in extra time, with Eberechi Eze and Gabriel Magalhães both missing from the spot to end the Gunners' dream of a first European crown.
Speaking immediately after the final whistle, Portuguese international Neves chose his words sharply.
"The emotion is there. It's the second time I've been a European champion. It's not even the victory itself that pleases me, but playing with such teammates, this staff, and this management. Coming here was the best decision I've ever made. I love everything here. We deserved it today, because PSG were the only team that wanted to play."
He added: "This year was different. It was harder, more physical. We were European champions, so we defended our title. We're part of PSG history. We're all happy. I want to enjoy this with my teammates now."
The suggestion that Arsenal did not want to play will antagonise Mikel Arteta, who built his side's season around winning the Premier League title and reaching this final. Arsenal were the more dominant team in extended periods of the match and hit the woodwork twice in extra time. Arteta has already said he will have words about a contested penalty decision that went against his side in normal time.
PSG become only the second club in the modern Champions League era to retain the title, after Real Madrid's three consecutive victories between 2016 and 2018. For Arsenal, it is a painful ending to a historic season — Premier League champions for the first time in 22 years, but denied at the final step in Europe.