Arsenal could only manage a goalless draw against the Spanish side which saw them crash out of the competition after losing the first leg away from home 2-1.
The Spaniard had been priced at 14/1 to be the next Premier League manager to leave, but market movement following the 0-0 draw with at the Emirates Stadium have seen his odds tumble to 15/2.
Mikel Arteta’s odds to leave Arsenal have been slashed following Europa League semi-final exit
Former Juventus manager Massimiliano Allegri and Brendan Rodgers are among favourites
And bookmakers are now pricing up potential replacement for Arteta in the Gunners hot-seat.
Former Juventus manager Massimiliano Allegri is favourite to take over from Arteta at Arsenal, with Betfred offering odds of 13/5 for the Italian.
Also among the shorter odds is Leicester City manager Brendan Rodgers priced at 3/1 after his impressive season with the Foxes sees them in the driving seat for a top four finish.
Arsenal legends Patrick Vieira and Thierry Henry are 10/1 and 22/1 respectively while Steven Gerrard is among the list of names, coming in at 17/1.
The Gunners have been off the pace for most of the season in the Premier League and look destined for a mid-table finish, currently sitting ninth in the table.
And Thursday night’s disappointment has only piled more pressure on the Gunners boss, with the club now staring at the possibility of a first season without European football since 1995-96.
Sportsmail‘s Martin Keown told BT Sport: ‘The manager comes under enormous pressure, you start to look at the wisdom of a young manager coming in to take a job here. It’s a huge job, massive job at this football club.
Iconic former defender Martin Keown savaged Mikel Arteta’s side for their poor performance
He believes the Spaniard is under huge pressure after being outsmarted by his predecessor
‘You have to be a quick learner as a manager. I’m not saying he isn’t going to be manager of the club, that’s a decision that will be made through the summer.
‘It will have to be an incredible start to next season if he is to stay in the job. He’s under huge pressure now. Big decisions to be made at the football club all round at the moment.
‘The team didn’t turn up, the tactics – he (Arteta) was outsmarted by the previous manager (Emery) in both games, which is a bit of an embarrassment.
‘The false nine and and the way he changed the midfield today – it looked brand new to us, we looked lost and they (Villarreal) engaged us high up the pitch and made us nervy.’