Luka Milivojevic was left frustrated by the Eagles' slow start on a "very hard" afternoon in north London.
Nacho Monreal, Alex Iwobi, Laurent Koscielny and Alexandre Lacazette all struck early to give Arsenal a 4-0 lead after 22 minutes at the Emirates.
Milivojevic did superbly to score from a Christian Benteke knock down late on, but by then the damage had been done.
"[It was a] very hard first 15-30 minutes for us. We never expect something like that, but maybe we were too relaxed," the Serbian midfielder said.
"But second half was a little bit better, much better than the first half - sure - but at the end of the day they deserved to win."
"The first goal we conceded from the corner, the second goal we were too deep, we started too deep. The third goal as well, a corner. After every goal we tried to put our heads up and to continue, but every time they would score again after two or three minutes. It was hard," he added.
"The second half was better, like I said, but we have to do better. We can't continue like this."
Milivojevic, who was wearing the captain's armband on the day, was disappointed with the nature of the defeat, but was keen to take the positives from the second 45 minutes.
"It's very hard to deal with. I haven't been in a scenario like this many times in my career," he said.
"Being 4-0 down after 20 minutes is a very hard situation for me, for the team, it's not an easy moment. However, the second half was much better. A difficult game for us, but we have to continue."
"We had two or three good chances and the second half was much better. We can take many things from the second half performance and I'm sure we will have learned what to do to never repeat something like this again."