The Argentine was devastated after the Partenopei became the first team in the history of Europe's premier club cup competition to be eliminated after amassing 12 points.
The Serie A side beat the Gunners 2-0 on Wednesday evening to make it 12 points from six games in Group F, but crashed out nonetheless as it needed a win by at least three goals to progress on account of Die Schwarzgelben's 2-1 win over Olympique de Marseille
"Not going through is incredible. It is an injustice, really," Higuain was quoted as saying on the official UEFA website. "Going out with 12 points – winning four games in such an immensely difficult group with two sides as strong as Arsenal and Dortmund – when you see teams going through with only one or two wins, with six or seven points, it's disappointing.
"It cannot be anything else but bad luck, because to win four games out of six and be eliminated is not something that happens often."
Napoli last made it to the Champions League round of 16 in 2011-12 when the club was eventually beaten by Chelsea.