The French side suffered a shock penalty shootout defeat to Greek outfit Panathinaikos in the third round of qualification on Tuesday night.
After a 1-0 first leg defeat, Marseille looked to be heading into the play-off round thanks to Aubameyang's first half double.
They were the 34-year-old's first goals for Marseille since joining from Chelsea on a deal until 2027 last month.
His work appeared to have been done when he was taken off in the 80th minute, only for his ex-Gunners teammate Guendouzi to undo his heroic performance.
The 24-year-old gave away a penalty in the closing stages of the match, which saw Fotis Ioannidis tuck his spot-kick home in the ninth minute of stoppage time.
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After both teams failed to score in extra-time, it went to penalties, with Guendouzi having another moment to forget.
Stepping up first for Marcelino's side in the shootout, he saw his effort saved by goalkeeper Alberto Brignoli.
It turned out to be the only missed penalty as Panathinaikos won 5-3 to set up a clash against Braga for a place in the group stage.
As for Marseille, they will have to settle for a place in the Europa League group stage.
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And this could see Aubameyang set for an instant return to England with Marseille able to be drawn against Liverpool and West Ham.
Marseille haven't progressed from the Europa League group stage the last two times they were in the competition.
They have endured a torrid time in Europe of late, having finished bottom of their Champions League group last campaign.