Arbeloa joined the Cottagers this summer, following Marco Silva's move to Benfica, as Jose Mourinho replaced him in Madrid - after after an interim spell in charge in the Spanish capital.
Despite spending heavily ahead of the new campaign, Arbeloa has lost both league games so far, at home to Chelsea and on the road at Sunderland.
That has raised some early questions over his readiness to manage in the Premier League - but the former Liverpool defender has insisted that's not a concern for him.
"Pressure is part of my job, but it doesn't change anything in the way we've been working. For me, the most important thing is that I work every day, try to improve and move on.
"We are so, so happy with all the players that have joined us.
"We have a very good squad. I'm very happy with the players that I have and now is time to focus on the next games.
"My job is to improve my players. We know who we are and the team that we want to be."