The Clarets suffered a 1-0 defeat at the Emirates Stadium to give the Gunners an advantage in the Premier League title race.
The interim manager admitted his side were undone by another expertly delivered set piece, with Kai Havertz’s first-half header proving decisive in the contest.
"We knew the challenge that was in front of us. Over the last two games, against Villa and today, it's quite easy to tap out - and it's a real credit to the players we didn't do that. I'm disappointed we didn't get something out of the game but it's credit to the players," Jackson told Premier League website.
"We got done on a set piece, Arsenal are the best in the world at them, but I said to the team at half-time, we get to 60 or 70 (minutes) and then we go.
“That was the plan, you're playing against a top side and you've got to have those moments where you create doubt in the stadium and that was our plan."