The Gunners midfielder has stated that seeing their rivals pick up the trophy was a bad day for him, as he wanted to be part of the first London team to win the competition.
The Blues defeated Bayern Munich on penalties, after Didier Drogba cancelled out Thomas Muller's opener late on. Petr Cech saved Arjen Robben's extra-time penalty before the Ivorian struck the decisive spot-kick in the shoot-out to claim Chelsea's maiden Champions League.
"It was probably the worst Saturday I've had in a very long time," Frimpong told Goal.com. "I wanted Arsenal to be the first London team to win the Champions League, but obviously it wasn't meant to be. Congratulations to Chelsea, and hopefully they enjoy their moment."
The 20-year-old has been out with ruptured cruciate knee ligaments since February and hopes to be back early next season. And, though he sees his long-term future at the north London club, he did suggest a loan move next term could be a possibility.
"I want to spend my entire career at Arsenal, that's what I want to do. If it works out at like that, that's fine. If it doesn't, well obviously I'll carry on my career," he said.
"I'm like three or four months away from playing. I think probably September. I don't know what's going to be happening at the moment. If the loan move comes then I'll take it, but if I'm going to stay at Arsenal then yeah, I'd love to play at Arsenal.
"People at Wolves were very lovely to me. I seemed to get on well with the fans, and they were good to me. So I'd love to go back there one day and help the team."
Frimpong also hailed the work done by Arsenal manager Arsene Wenger in reversing the club's fortunes halfway through a season in which many were calling for his head.
He continued: "I remember at the start of the season, Wenger was getting a lot of stick, and people were even saying that Arsenal should let him go, but I feel he's done really well to get the team to finish third, especially above Tottenham.
"We didn't win anything this season which is a shame, but hopefully next season we can do something better."
The Ghanaian went on to praise Gunners team-mate Alex Oxlade-Chamberlain following his call-up for England, but stated that Spain is his favorite to win Euro 2012.
Frimpong added: "I'm gutted man! Haha, I'm joking. Alex has had a great, great season, he's done really well. I'm just happy for him because I think he deserves his chance. From what I've seen on the training pitches, he's a very good player and I'm sure he'll help England.
"[Look out for] Frimpong maybe? Haha, no, I don't really know much about the England players personally, all I know about really is Theo Walcott and Oxlade-Chamberlain, because they are my mates but apart from that I don't really know too much about others."
Emmanuel Frimpong was speaking at the iPAYtoPLAY event, raising money for the charity Tackle Africa, who try to educate African children about sexual health and HIV through football coaching.
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