Moyes was furious after Saturday's 1-0 home defeat to Newcastle in the Premier League.
It left his side second-bottom with just two points from their opening five games.
And Arteta says they must stop the rot, starting at Brentford in the Carling Cup tonight.
The Spanish midfielder said: "The manager is not happy and he is right not to be. We have not been good enough. Saturday's game was the worst we have played for a long time. I don't know how many times we miscontrolled the ball, gave it away and played ourselves into trouble.
"We seem to be chasing every game and we are lacking someone to put the ball in the net. The 3-3 draw with Manchester United felt like a victory but we have taken three steps backwards against Newcastle and now we have three away games.
"There is no point in feeling sorry for ourselves. We have to react now, like we have done in the past. We have to be critical of ourselves and work even harder to improve."