The North London outfit were left with the near-impossible task of turning around a 4-0 defeat first leg deficit against their Italian opponents.
Despite scoring three first-half goals at Emirates Stadium to make the possibility of reaching the quarter-finals realistic, Arsene Wenger’s men failed to complete the comeback, with Robin van Persie guilty of missing a fantastic opportunity after the break.
However, Czech international Rosicky has praised his team-mates and believes the club can take many positives out of the performance.
"I am proud of my team-mates because what we produced was great football, but it's sad because obviously we are out of the competition," Rosicky told Arsenal's official website.
"We can go out with our heads held high but we blew it in Milan.
"We knew [that we would be making history if we came back] and that's what the boss told us in the pre-match speech."
The 31-year-old playmaker has denied reports suggesting Arsenal were not up for the game and has stated that he always thought the comeback was possible.
“Who wouldn't want to be part of something special? So of course we were up for it and I think you could see that. So it's a shame.
"We had a big opportunity to score the fourth one as well. But always you come back to the game in Milan."
By Matt Maltby
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