Speaking after the final, Emery said: “We have the possibility for a lot of players to improve. We have young players getting the first experience of a final and I am positive for our future with young players getting better in our way.
“Our idea is to continue to carry on and improve with the young players that have arrived. Maybe some players need to leave but it’s not the moment to speak about that.
“I am very proud of our work, not very proud to not achieve our target, but proud of our work because I think the players did all they could to achieve our target and we are closer to other teams. The next year we can continue with the same team with some players coming to help us get better.
“We have big players with experience and some young players. This year we will use to be closer to the other teams. The next year we need the same idea, to add some new players, but it’s the same way as this year, to do one step more.”
Asked whether missing out on the Champions League will impact Arsenal’s summer transfer plans, Emery said: “Maybe. But we are a big team and Arsenal is a big name in the football world and a lot of players want to play here.
“We need in this process to be strong in our idea and our way. That is the way we started this season. The idea was to get more competitive as a team and be closer to the teams. We did that but at the moment it’s not enough for our targets, but the next week and the next year our idea will continue in our mind.
“I don’t know for transfers for next year but the club is working to do everything we need to improve.”
Arsenal had the better of the opening exchanges in Baku but slumped after half-time as Chelsea scored four times.
“The first half we had possibilities in the match and we had some chances to score. We didn’t concede a lot for them, one clear that Petr Cech saved very well,” said Emery.
“The second half the idea was the same, to carry on our game plan, take our moments to score, but they scored the first and that was important in this match. After that you need to play with calm and we made some mistakes and they have very good players to use these mistakes to make chances and score.”