The Gunners started superbly and, after Declan Rice headed wide from close range, Gabriel Martinelli and Martin Odegaard forced Donnarumma into fine saves.
Saka also forced the PSG keeper into another excellent stop in the second half as Arsenal finished the match with an expected goal ratio of 3.14.
“When you analyse both games, who has been the best player? The MVP has been the same player, the goalkeeper.” added Arteta.
“And the Champions League is decided in the boxes and it’s won the game for them because obviously after 20 minutes, and what happened in London as well, the result should have been very different.
“So I can take a lot of positives and I’m very proud of the team. We have to arrive in the competition at this stage with the full squad, full available, in the best condition. We haven’t got that, so let’s put that aside.
“Still, the team that I’ve seen today is probably one of the best, if not the best team in Europe.
“It gives me so much pride, but at the same time I’m so upset, so annoyed that we didn’t manage to do it. I see how much they wanted it, because they were in tears. It hurts, but you have to deal with that.”
The defeat meant Arsenal will end the season without winning a trophy for the fourth season in a row, after Arteta led them to an FA Cup triumph in 2020 during his first season in charge.
They have also finished second in the Premier League for the last two seasons and the Spaniard was asked whether his players will struggle to get motivated to try again after another disappointment.
“With fear you cannot play football at the highest level. We had the best example in the [PSG] dressing room – Marquinhos, 11 times he’s tried in this club to be a winner, 11 times he’s the captain,” said Arteta.
“So that’s the truth and let’s see if they win it. So 11 times they have to go down and up.
“So look in the mirror at somebody like this with that trajectory and you want to be in the sport and you want to be competing and be very close to all the trophies. You better be able to deal with that.”
