Valencia took the lead early in the first-leg contest at Emirates Stadium on Thursday thanks to a close-range header from defender Mouctar Diakhaby.
But within 14 minutes Arsenal were in front, Alexandre Lacazette scoring both goals before Pierre-Emerick Aubameyang struck a late third.
Former Valencia head coach Unai Emery sees his side take a decent cushion back to his old club for next Thursday's return.
But, despite Valencia's position in the semi-final, Marcelino remains confident of a comeback.
"The result has been excessive," he said. "They [Arsenal] have been very decisive.
"They had more success and effectiveness, we hope to have that little bit of luck and success in the return.
"In the 90th minute we had a very good result, not the best, but in an isolated action it came to 3-1.
"In many phases we had the control and we held Arsenal. I, from the bench, did not see my team in trouble. We adapted well to the system.
"We scored a goal away from home and at Mestalla we can hurt them. The tie is not decided and with our people we are going to make things difficult for Arsenal.
"It puts us in a more complicated situation, but in no case takes away from our minds that we can go to the final, this helps us to believe in ourselves and to believe that we can win."
Both sides will have to turn their attentions back to domestic matters before the return leg in Spain next Thursday.