Real Madrid were bounced out at the round of 16 by Albacete, losing 3-2, with Gonzalo Garcia's injury-time equaliser still being bettered by a second from Jefte Betancor on 94 minutes.
Arbeloa said afterwards: “At this club, a draw is bad enough, a tragedy. Imagine a defeat like this. It's painful and I'm sure that all the fans are hurt and even more so when you do it against a team from a lower tier. We know how difficult any team can make it and we saw it on the day against Talavera. From here on we have to improve.
"If anyone is responsible for this defeat, it's me, as I'm the one who made the decisions regarding the line-up, how we wanted to play, the changes, etc. I can only thank the players for the welcome they've given me and the effort they've made today. I'm trying to get them back on their feet, both physically and mentally, obviously. We have to improve and go for Saturday's game.”
“I said it yesterday. I'm not afraid of failure and if you want to call it that, I understand fully. But if there is one thing I have learned in life, it is that failure is on the road to success and not in opposite directions. This defeat will make me better and it will make us all better. A starting point where we have a lot of room for improvement.
"I have failed many times in my life and I have suffered even worse cup eliminations than this one. I'm looking forward to returning to Valdebebas tomorrow to work with my players and prepare for Saturday's game with the greatest of dedication so that things go much better for us than they did today.”
Failing from the start?
Asked if this ends his hopes of staying long-term as first team coach, Arbeloa was adamant.
He said: "I've lost many times in my life. Tough defeats and difficult moments and I don't believe that defeats mark you. If anything marks this club, it is the victories, the titles and the full trophy cabinets. I'm not here to add to my CV but to help the club to be the best in the world and to add to its trophy cabinet.”
On what he intends to say to president Florentino Perez, Arbeloa added: “I don't have to explain anything to the club president because he knows a lot more about this than I do with the experience he has. He has been president for 25 years and has been a Madridista for many, many more.
"He knows the history of this club. We are a winning club and we only look ahead. We are already thinking about LaLiga and the Champions League, which are our main objectives. We have to put this behind us.”