On functions of Arakawa and Kaneko and multiple zeta functions

We study for $s\in\N=\{1,2,...\}$ the functions $\xi_{k}(s)=\frac{1}{\Gamma(s)}\int_{0}^{\infty}\frac{t^{s-1}}{e^t-1}\Li_{k}(1-e^{-t})dt$, and more generally $\xi_{k_1,...,k_r}(s)=\frac{1}{\Gamma(s)}\int_{0}^{\infty}\frac{t^{s-1}}{e^t-1}\Li_{k_1,...,k_r}(1-e^{-t})dt$, introduced by Arakawa and Kaneko \cite{Arakawa} and relate them with (finite) multiple zeta functions, partially answering a question of \cite{Arakawa}. In particular, we give an alternative proof of a result of Ohno \cite{Ohno2}.