Two goals from corners - through William Saliba and Jurrien Timber - sandwiched Piero Hincapie's own goal earned the Gunners the win on Sunday night. The Blues also had Pedro Neto sent off on 70 minutes.
An exasperated Rosenior stated afterwards: "It's been the same story for the last three games. It's the same story. In the ascendancy in all the games. What I never do is start pointing the finger, but it's clear what we need to improve. We need to make sure we are ruthless in both boxes and to concede from two corners and get another red card, it is the story of our season.
"The first goal is top. Arsenal are probably the best team in the world at them. The second one is just disappointing. We have to do better. I don't want to keep coming out here nd saying all the good that we do. There is a lot to sort out before we go to Aston Villa.
"It's a combination. The marking, the zone players. The goalkeeper is involved. I won't single out. I will address it on the training ground.
"It's a difficult thing to put your finger on. We get paid to win football matches and if you think we haven't addressed that, it's crazy. I thought the pain of dropping two points against Leeds and Burnley would have got us going.
"I thought the set-up tactically was good. Arsenal didn't cause any problems until set plays."
The defeat leaves Chelsea now in sixth place, six points outside the top four.
On that gap with the Champions League spots, Rosenior added: "We are playing them. If we solve this problem, we have a great chance and it's very simple."