The Gunners were beaten 2-1 by Bournemouth in today's early kickoff, with Alex Scott grabbing the visitors' winner 16 minutes before fulltime.
Arsenal were lacklustre on the day and Arteta said: "Disappointing. It's a big punch in the face and it's about how we react now. They are a team who haven't lost for 11 games for a reason, they did a lot right.
"We were far from efficent. The first chance they had to attack the box, it's a deflection, a bad defending action and it's a goal. That's something we have to recover from.
"The second half you expect a different game. We did a lot of strange things today.
"We have been very consistent. This can happen, this is football."
The result leaves Premier League leaders Arsenal still nine points ahead of Manchester City on the table, though having played two games more.
On whether the players are hurting, Arteta added: "A lot. It has to hurt. They have to take it on the chin. You stand up and go for the fight or you're out.
"It's a big week. A lot at stake. We're still in a good position in both competitions."