Arsene Wenger thought a deal to sign the Senegal striker on a season-long loan deal was in place on Monday night after hours of negotiations between the clubs.
But the Stamford Bridge pulled the plug on the deal saw the deal, leaving Arsenal irate.
After initially agreeing to the deal, Emirates chiefs were baffled by Chelsea’s late decision to veto Ba’s move because they did not want to strengthen a direct rival.
It is understood Ba’s move across London was so far advanced that Arsenal had arranged the former Newcastle forward’s medical.
Wenger was desperate to sign a centre-forward on Monday, knowing Olivier Giroud is currently his only fit recognised striker.
And Chelsea’s decision to end the deal meant Arsenal had no time to pursue alternatives, leaving Wenger worryingly short of attacking options.
Should Giroud pick up an injury, Wenger is likely to turn to Walcott to fill the role of lone centre-forward.
If fit, Lukas Podolski would also be a contender to replace Giroud, but is now feared the 28-year-old could miss the rest of the year.
It was hoped Podolski would make a return from a hamstring tear in November but Dr Hans-Muller Wohlfahrt, who conducted Mesut Ozil’s medical ahead of his £43million move to Arsenal on Monday, says he could miss three months after conducting his own examination.
Podolski told German daily Bild: ‘Unfortunately I’ll be out a long while, around three months.’
Meanwhile, striker Nicklas Bendtner, denied a transfer window move because of Arsenal’s failure to buy a forward, last night issued a statement pledging his commitment to the club.
The Dane said: ‘The truth is I just want to play football which is when I’m happiest and Arsenal is a fantastic environment for any professional to apply their trade.
‘I want to assure all Arsenal fans that I will give everything I have to contribute to what I believe will be a successful season for the club.’