Chelsea's last cup final appearance saw incredible scenes at Wembley as Kepa, seemingly injured, refused to follow the instructions of Sarri and be substituted.
Manchester City went on to win the Carabao Cup on spot-kicks, but Kepa made amends somewhat with his two saves enabling Eden Hazard to score the winning penalty at Stamford Bridge, where Thursday's second leg finished 1-1 to make it 2-2 on aggregate.
"Penalties is a bit of luck, we lose in the other final and win [today] – it's football," Kepa told BT Sport .
"The atmosphere was really good, we played against a difficult strong team and we are very happy.
"We always prepare for all the games, all the penalty shootouts, but we are lucky today.
"Wembley was the past, I learned, I said sorry to all the people but always we keep our work and today was another game, another semi-final and we are very happy to qualify for the final in Baku."
Both the Europa League and Champions League finals will be contested by four clubs from the same country for the first time in football history, with Liverpool and Tottenham set for an all-English showdown in Madrid.
"Football! In the last semi, in the EFL Cup versus Tottenham we won on penalties, we win today also," added Kepa.
"Arsenal win? We have a strong final and a London derby.
"I think our season was a little difficult but we are in two big finals, qualified for the Champions League, so it's a good season."
Chelsea and Arsenal will face off in Baku, Azerbaijan on May 29, with the Champions League final slated for Madrid on June 1.
The Gunners will finish out their Premier League schedule on Sunday against Burnley.