Wenger's 250th European match as a manager was ruined by familiar foe Diego Costa, who struck the only goal in first-half stoppage time before Atletico's famously mean defence clung on to keep a 12th consecutive home clean sheet and book their place in the final 2-1 on aggregate.
"Look, after... I have to recover first from that huge disappointment tonight. I'm very, very sad to leave the club with that exit. I'll take some time to recover from that. After I'll see what I will do with myself in the future. I have no plan at the moment."
The defeat means Wenger will leave Arsenal at the end of the season after 22 years that yielded three Premier League titles and seven FA Cups but no European trophy.
Watch the manager's reaction below.
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Atletico Madrid manager Diego Simeone said he was looking ahead to a great final against Marseille after his side beat Arsenal in the Europa League semi-final 2-1 on aggregate.
In the other semi-final, Marseille overcame Salzburg with an away goal in extra-time to win 3-2 on aggregate.
Simeone, who watched the match from the stands after his sending off in the first leg, praised his team's goalscorer Diego Costa's character, adding his performance proved his value to the club.
Watch his reactions below.
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