The Blues were beaten 2-1, with Arsenal scoring from two corners, while Pedro Neto was also sent off for the visitors.
Chalobah lamented afterwards, "We have to look at ourselves because we’ve been undone from two set-plays.
"We work a lot on set-pieces, both defensively and offensively, and we know how strong Arsenal are at them. These are the little details and we need to improve on them.
"We have to know our roles both collectively and individually, and we all need to step up. We’ve conceded too many goals from set-pieces, that’s why we are where we are in the table."
Next up is a decisive clash with Aston Villa in midweek.
Chalobah also stated: "We have to look at ourselves and really step up now, because we’re heading into a crucial part of the season. It’s true that we have a tough run of fixtures coming up, but all games are like that in the Premier League, to be honest.
"It’s time for everyone to keep positive, turn the performances into the three points and push up the table."