The Gunners were soundly beaten 4-1 in Azerbaijan as they fell apart in the second half.
Olivier Giroud put Chelsea ahead just after half time, with Pedro subsequently making it 2-0.
Former Arsenal boss Arsene Wenger has criticised the club for their Europa League final defeat
Eden Hazard added a third from the penalty spot and, although Alex Iwobi temporarily reduced the deficit for Arsenal, Hazard struck again to secure victory.
Wenger, who managed the Gunners for 22 years, told beIN Sports: ‘I felt that in the first half we did quite alright but as soon as Chelsea scored the first goal we collapsed completely.
‘In the second half we didn’t exist. It was a sad night for us.’
Wenger stated that Arsenal ‘collapsed completely’ once Chelsea opened the scoring
Arsenal went one better in the Europa League than they did in Wenger’s final season, when they were knocked out by Atletico Madrid at the semi-final stage.
However, it was another disappointing campaign for Arsenal overall with Unai Emery’s side finishing fifth in the Premier League.
Arsenal’s squad requires significant reinforcements this summer if the club are to get back on the right track.
It has already been confirmed that Aaron Ramsey and Danny Welbeck will leave Arsenal when their contracts expire at the end of next month, while goalkeeper Petr Cech is retiring.