The first time I encountered a statue that offered to take me to the arena, I went there. I've now fought to my death several times. When I die, I'm asked if I want to retry. Selecting "yes" brings me back to the arena. Selecting "no" brings me to the title screen (and "continue" from there puts me right back in the arena). There seems to be no menu option for leaving.
Do I have to get through a certain number of waves to exit? Do I have to restart the chapter? How the heck do I get back to playing the storyline?