If surrendering the title meekly to Manchester United on Saturday was disappointing for Arsenal, this defeat will have hurt them deeply. Having held out defiantly, and with increasing confidence, for 75 minutes, their dream of reaching a first Champions League semi-final was snatched away.
And Tony Adams could be in trouble after appearing to strike Mauricio Pellegrino in the face off the ball in injury time.
Until John Carew glanced in a Jocelyn Angloma cross to give the Spanish side victory on away goals, David Seaman had been stretched only once. But ultimately Arsenal were to pay for one lapse and their failure to take the few chances which came their way on the counterattack.
Arsene Wenger had made it clear beforehand that his players would hardly need motivating. What worried the travelling Arsenal fans was whether their team had the incisiveness in attack and the resilience in defence to capitalise on a 2-1 victory in the first leg.
Wenger knew much was likely to depend on whether his experienced defence could roll back the years and produce the sort of mean display which took Arsenal to successive Cup Winners' Cup finals in the mid-90s.
The determination of Adams was quickly evident in his committed challenges and constant cajoling of team-mates as Valencia came forward, mixing their passing game with some longer balls towards the head of the gangling striker Carew.
The Spanish side looked particularly dangerous when Gaizka Mendieta was in possession and tried to stretch Arsenal down the flanks through Angulo and Vicente. Yet with Martin Keown making important tackles and interceptions, Valencia struggled initially to create chances, even if Mendieta tested Seaman with a long-range shot.
Not that Arsenal were entirely comfortable. The signal for the pressure to intensify came in the 17th minute when Juan Sanchez's quick pass picked out Carew and the flag stayed down. The Norwegian, with only Seaman to beat, should have done better than shoot wide.
With Valencia in control, Arsenal were restricted to the occasional counter-attack which rarely threatened. Wenger had surprisingly left out Nwankwo Kanu, opting instead for the pace of Thierry Henry and Sylvain Wiltord against an ageing back-line, yet the French pair saw little of the ball as Arsenal struggled to hold possession.
Wiltord did at least stretch the Valencia goalkeeper Canizares with a low shot just after the half-hour. But by that stage only a fantastic stop by Seaman had kept proceedings goal-less.
Wenger had said that his side would need a big save from the England keeper to stand a chance of progressing, and this certainly belonged in that category. Carew seemed certain to score when he deflected a Vicente cross towards the near post but Seaman reacted sharply to push the ball aside.
Wenger introduced Freddie Ljungberg for Ray Parlour at half-time and it seemed the Swede might have had a penalty inside two minutes when he fell under Amedeo Carboni's challenge. And with Arsenal looking increasingly comfortable, they must have sensed a semi-final place was theirs for the taking.
Patrick Vieira was exerting a growing influence in midfield and Henry had a fine chance to seal the game just before the hour, only to hit the side-netting. Although it needed a fine headed interception by Keown to nick the ball from Carew and the Mestalla stadium erupted in disgust when Keown got away with what appeared to be a trip on Mendieta in the area, Wenger must have felt his side could hold out.
Valencia: Canizares, Angloma, Pellegrino, Ayala (Djukic 50), Carboni, Mendieta, Vicente, Baraja, Angulo (Aimar 67), Sanchez (Zahovic 72), Carew. Subs Not Used: Palop, Alonso, Albelda, Aurelio. Booked: Angulo, Mendieta. Goals: Carew 75.
Arsenal: Seaman, Dixon, Keown, Adams, Cole, Lauren, Parlour (Ljungberg 46), Vieira, Pires (Kanu 77), Henry, Wiltord. Subs Not Used: Manninger, Grimandi, Upson, Luzhny, Vivas. Booked: Keown, Parlour.
Referee: Kim Nielsen (Denmark)