He admitted his players found it much easier to keep a clean sheet in the 0-0 between the sides on Saturday after the Gunners sold Van Persie to Manchester United.
O'Neill said: "It's a major loss to them, anyone would suffer if they lost a world-class player like that. Real Madrid would if they lost Cristiano Ronaldo, Barcelona would if they lost Messi - he was every bit as important to Arsenal.
"It's a major, major loss for them. He was the fans' favourite here. Before I came up to Sunderland, I went to a game at the Emirates and not only was he brilliant but the crowd were right behind him.
"You think you've got everything, you're playing for Arsenal and then you decide that is it. What more can a manager do? You've got an unhappy player here for a year and he plays under duress or do you decide to take the money?"