It was a miserable return to London for former England coach McClaren, who saw his side outclassed by Arsenal as they made amends for their poor performance in the defeat at Fulham on Saturday.
Arsene Wenger can now plot another assault on the trophy that eluded him in the 2006 final against Barcelona.
Cesc Fabregas returned after a hamstring injury to make his first start since Spain's Euro 2008 final victory against Germany - and he enjoyed a first-half stroll as Arsenal dominated.
Wenger happy with Arsenal's small squad
Walcott terrorised FC Twente down the right flank, and both Johan Djourou and Gael Clichy came close before summer signing Nasri put Arsenal ahead after 27 minutes.
The England youngster, inevitably, was the creator with another direct run, and when his cross fell to Nasri via Robin van Persie, he slid in with ease.
Walcott showed great unselfishness to carve out an open goal for Van Persie after 38 minutes, but the Netherlands striker took an age before shooting wide of the unguarded goal.
Wenger took Nasri off at the interval and sent on Emmanuel Eboue, but the pattern of Gunners' domination continued.
Gallas doubled their advantage seven minutes after half-time when FC Twente keeper Nicolay Mihaylov - on loan from Liverpool - parried Bendtner's shot and the Arsenal captain bundled home from close range.
Walcott pleased to take his chance
Walcott got the goal his outstanding display deserved after 66 minutes, this time doing damage on the left flank before cutting in and slipping a precision finish inside the far post.
Bendtner had endured a mixed evening despite all his endeavour, but he got some reward with a minute left when took advantahe of a superb flick by Denilson to beat Mihaylov from eight yards.
It crowned a comfortable evening's work for Arsenal and left McClaren having to continue his European journey with FC Twente in the Uefa Cup.
Arsenal manager Arsene Wenger
"It was a big game for us and the response was clear. There was togetherness and focus. That is what we wanted after a result like Saturday when we lost at Fulham.
"We needed to be organised because they play a little with your patience. We were disciplined and focused and we were never really under threat.
"I felt the whole team was sharp. Physically we were much better than Saturday."
FC Twente coach Steve McClaren
"I was sat here on Tuesday and they were talking about a crisis at Arsenal. Someone said it was the best time to play them after they lost to Fulham, but it was the worst time.
"We are hurt and disappointed. It's not how we expect Twente to play. We must take that anger into Saturday's match when the season starts.
"Arsenal are further on than us. They have played Premier League games and it showed. They were fitter and stronger than they were two weeks ago.
"We played with belief and competed with them in the first leg. We didn't do that in this game."
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