Christian Benteke, Wilfried Zaha and James McArthur all found the net as Palace stunned the Gunners at the Emirates Stadium on Sunday.
"We want to play next season in the Champions League, but we know it is going to be hard".
"It was very frustrating, because it was a big opportunity", said Emery.
"By half-time, Emery was already having to change his plans". It's in our hands.
"Now, they must win the Europa League or get the job done in their next four league games".
Shkodran Mustafi endured a day to forget, the German producing errors to contribute to all three Palace goals.
"We can not speak about the player usually", said Emery.
He has been a consistent performer this season, helping the Eagles to steer clear of relegation. Today also when you can defend against [Christian] Benteke and [Wilfried] Zaha you can suffer more. In the second half we changed to play with two and we can take more possibilities in the attacking third, in the build up, but defensively we gave them more space to take the transitions.
"I kept thinking after that game, Klopp really does respect Zaha as a player and he knows how risky he is".
Arsenal remain on course to finish Emery's first season in charge in positive fashion, with the Gunners in competition for a top-four finish.
Arsenal's Pierre-Emerick Aubameyang has scored more Premier League London derby goals than any other player this season (6). "We lost today but we could also have lost with different players".
Following their 2-2 draw at Selhurst Park earlier this season, Crystal Palace are looking to avoid defeat in both league meetings with Arsenal in a campaign for the first time since 1979-80.
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