The Gunners' Swiss defender was blamed for the first two goals the Gunners conceded in their 4-2 loss to Barclays Premier League rivals Liverpool last week.
"Philippe has been on the phone to us every day for the last few days," his father Julien told Switzerland's Le Matin newspaper.
"He was not feeling too good after Arsenal went out of the Champions League. Firstly because he is a winner and his team had been knocked out, and then because he was angry with himself.
"Knowing his character as I do, I can fully imagine him bursting into tears in the dressing-room.
"Arsene Wenger gave him Sunday and Monday off so he could clear his mind, and he has done that.
"But he is not in distress - it is not as tragic as that. It is not the case that he is suffering from depression."