They'll be keen to make up for that disappointment this time around and they have serial Europa League victor Unai Emery at the helm so they should be confident of putting a good run together in the competition.
"You can bet it will be an intense affair, it's the team that can keep their cool and stay focused, and the ones who have got the better quality on the day generally wins the game".
The ex-England captain told reporters: "It's a big game on Sunday against a tough team so we have to recover and prepare well".
Former Arsenal midfielder Santi Cazorla is back at Villarreal, where he hopes to bounce back from his long injury problems, while Carlos Bacca - a two-time Europa League victor with Sevilla - leads the line.
According to Vivaro News, Armenian players are now banned from entering Azerbaijan due to tensions between the bordering rivals. On the face of it, that looks a very winnable group for Arsenal.
"It is a standard procedure for UEFA to send letters of support to associations, clubs or embassies in order to obtain visa for players in order to be able to travel to another country and play in UEFA competition matches", read part of a statement from UEFA.
The final of this season's Europa League takes place in Baku, the capital of Azerbaijan, on 29 May.
UEFA could help facilitate Mkhitaryan having his via application approved.