The hosts whipped the Emirates crowd into a frenzy with a spectacular light and pyrotechnics show before kick-off, only to see the thunderous atmosphere punctured almost immediately by that priceless early goal.
Mikel Arteta's side appeared to be stunned and could have suffered further damage as PSG poured forward in wave after wave of attacks in the opening phase.
Arsenal never lacked for heart or effort, but PSG controlled Bukayo Saka superbly and when the chances came they ran into the same wall of defiance from keeper Donnarumma that broke Liverpool and Aston Villa's hearts.
The Italy goalkeeper was the hero against Liverpool when PSG won on penalties at Anfield, while three superb second-half saves kept Unai Emery's side at bay at Villa Park.
Martinelli should have scored when clean through, but Donnarumma's low save diving to his left from Trossard was high class.
And when the Gunners thought they had made the breakthrough early in the second half, Merino's smart header was ruled out for offside after a lengthy video assistant referee check, although the very deep starting position of Arsenal's players at the set-piece was running that risk.
Arteta will believe his side can turn the tie around after beating Real Madrid at the Bernabeu, but PSG are an entirely different proposition and this now looks like a mammoth task for Arsenal reach the final in Munich.