The 'Gunners' had a comfortable 4-1 lead heading into the second leg, but struggled to maintain their three goal advantage against CSKA Moscow on Wednesday evening.
Fedor Chalov and Kirill Nababkin scored for the hosts to ignite hopes of a fighting comeback for Moscow fans. However, these hopes were dashed in the final stages of the match to secure an Arsenal victory.
Danny Welbeck scored in the 75th-minute whilst Aaron Ramsey's stoppage time goal took the visitors to a 6-3 victory on aggregate at the end of the return leg.
Arsenal captain Koscielny spoke to 'BT Sport' after the match and admitted that the squad need to up their game heading into the next stage of the Europa League.
He added: ''They [CSKA Moscow] played well, had opportunities and took them. It put pressure on us, if they score [a third goal] we are out. So I am happy because we came back, but our performance was not enough for the stage of the competition.''
Ahead of the semi-finals draw, the centre-back added: ''We will see the draw, but we need more confidence in our game. It's our last chance to qualify for the Champions League, so we will fight until the end.''