While the Gunners beat Valencia 3-1 at the Emirates, Chelsea settled for a 1-1 draw with Frankfurt in Germany.
Both teams are still fighting for a place in the top four of the Premier table, with Manchester United and Tottenham also hopeful.
With Thursday’s results in the Europa League, Arsenal and Chelsea are at an advantage to the final in Baku.
Emery, however, has sounded it clear that his side wants to win the Europa League and qualify straight to the Champions League.
“I had two more chances where I could have done better but thankfully Auba scored the third one,” he told BT Sport.
“We conceded the first goal. We knew they were good on set-pieces and we have to be careful of that in the second leg. But the team showed good character and reacted well, and that’s a good thing from tonight.
“We want to win the Europa League to go straight to the Champions League but also to win a trophy. We want to finish in the top four in the Premier League and if we can go to Baku [for the Europa League final] it will be special.”
