The Gunners won their Champions League encounter 2-0 thanks to goals from Gabi Martinelli and Bukayo Saka.
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Mendilibar said afterwards: "I think we were in it until the end, save the final few minutes, at a very difficult ground.
"We believed in ourselves and we didn't change our style of play, despite the fact that we were playing against a top side, which is not a bad thing, even though we lost.
"Our motivation was not to change our style of play, even though we knew we were playing against a great team like Arsenal. We had to show courage in order to come up against some very quality players."