United dominated the game, but lost 1-0 thanks to Riccardo Calafiori's scrambled first-half header.
"It's the first game of the season, so we can't speak about step forward," Fernandes told Sky Sports. "We did a lot of good things, but obviously, (it) wasn't enough.
"We concede a goal from a set-piece in the first half, and I think from there on, Arsenal didn't have any good chances, they didn't create any good chances.
"We were defending very well, I think. Again, we created too many chances without scoring, so that's a point we have to look at and make it better next time."
He continued: "I think we control (the game) well.
"We were very good on the ball and, as I said, we created some chances, but we didn't score. I think that's the main negative of the game for us today."
On debutants Bryan Mbeumo and Matheus Cunha, he also told MUTV: "They did very well. Obviously, we know what they can give to the team, we know the qualities they have. They are a big threat on the ball.
"It's the beginning still, but they will create more and do more for us, I'm very sure, because the quality of them is very high."