Ferguson rapped his charges for not making the most of the chances they created.
"The expectations are very high here and we should have scored more goals - we felt like we had lost the game in the dressing room afterwards," Evra told MUTV.
"If we had taken every chance we created it would have been a different game, but to only finish 2-1 is a bit disappointing. That isn't because we don't respect Arsenal, it's because the expectations are very high here.
"When they are so high you can sometimes forget that you've beaten a team like Arsenal. It's a big game we have won. We've won at Liverpool, at Chelsea and now we have beaten Arsenal. Last season we didn't do that and that's why as a team we know we have the potential and the quality to win the league.
"The reason we are not really happy is because we didn't score more goals, but in the end he has been a terrific week for Manchester United. The confidence is really high in the team."