Arsenal had taken the lead through Nicklas Bendtner to go ahead for the first time in the tie, and then missed an opportunity to grab a second goal on the break before Messi stamped his mark on the game - firing in a 20-yard effort after latching onto a poor clearance from defender Mikael Silvestre.
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"It is disappointing to go out after getting that early goal, but sometimes you just have to sit back and admire it, because it was fantastic," said the England forward.
"The next five minutes (after scoring) are crucial and we just could not hang on, in the end, they blew us away.
"Lionel Messi is probably the only player on the planet who could have scored goals like that.
"It is one of those nights where we have to learn from our mistakes.
"It is about holding on to those crucial goals and not giving them the opportunity to score.
"But there is no point dwelling on it, it is all in the past, we have got to move on and concentrate on the Premier League."
Walcott added: "It is a great experience for us, we now have to look forward to the game against Spurs on Wednesday and have to come right back because we have still got the Premier League to have a shout at.
"Tottenham away is a very big game - we just have to try and bounce back from this disappointment."