Theo Walcott struck the winner for Arsenal in the first-half.
"I've told the boys that we should not feel satisfied with the performance. We have not done anything important because we lost and 1-0 is a dangerous result," said Guidolin.
"Arsenal are young but experienced in this competition and took home the result, we were not able to score despite the chances offered.
"Unfortunately, in defence we missed Maurizio Domizzi, we played Neuton, who is inexperienced and must learn everything about the role of the defender. He's a good player who will have a future, but our future is now.
"The challenge is open, we can play. They have an advantage and if there are goals in Udine it becomes difficult for them to get through."