Koulibaly, 27, has been linked with a move to Manchester United and coach Carlo Ancelotti said the centre-back was worth €150million, but not for sale.
"Why? I grew up in this league. It's the league that made me the player I am today,"
"To me what matters most is to finish the season well, then we'll see.
"I am sorry because we wanted to go through."
Alexandre Lacazette's first-half goal saw Arsenal beat Napoli 1-0 in the second leg, wrapping up a 3-0 aggregate success.
Koulibaly was saddened by his side's defeat and lamented their first-leg performance in London.
"It's our fault, we should have been a bit tougher, have more anger to score goals, and we didn't have it," he said.
"But at this level, when you do a wrong first half as we did the first leg, it's hard to come back. We saw it tonight and we are very sorry."