It all has to do with what you're expecting at the end of the day. An Arsenalic defeat to Barcelona, Bayern, or Real Madrid is an embarrassment. So a loss like PSG, although VERY depressing, is preferable. An Arsenalic defeat fits teams, lets say, Arsenal? Trust me, I mean no disrespect to Arsenal fans (I actually like Arsenal and their condition kinda disappoints me) but even Arsenal fans were numb to the loss because they didn't expect anything more than them. So to answer your question, As a proud Madridista, a PSGic loss is less painful.
Simple question, if you was in a position to choose between these 2 options of being knocked out of UCL, what would you pick?