The London clubs were given 6 000 tickets each by European football's governing body for the match at the 68 700-capacity Olympic Stadium, more than 4 500 kilometres from the English capital.
UEFA cited Baku's limited airport capacity as one reason for not reserving more tickets for travelling fans.
"We are bitterly disappointed by the fact that due to transport limitations UEFA can only make a maximum of 6 000 tickets available to Arsenal for a stadium with a capacity of well over 60 000," said Arsenal in a strongly worded statement.
"Time will tell if it is even possible for 6 000 Arsenal fans to attend the match, given how extreme the travel challenges are."
Liverpool and Tottenham supporters have also complained about the limited number of tickets given to both clubs for the Champions League final, in Madrid on June 1.
And Arsenal called on UEFA to take fans' considerations more into account when choosing where showpiece European finals are held.
"On behalf of our fans, we would like to understand the criteria by which venues are selected for finals, and also how supporter requirements are taken into account as part of this," added Arsenal's statement.
"Moving forward, we would urge UEFA to ensure that supporter logistics and requirements are a key part of any future decisions for final venues as what has happened this season is unacceptable, and cannot be repeated.
"We would be happy to join any future discussions to avoid this situation happening again."