In a see-sawing contest, the Premier League leaders were beaten 3-2 by United as Matheus Cunha struck three minutes before fulltime.
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“I think we didn't show our best level for the full game, which is frustrating,” Saka said afterwards.
“It's such a big game with a lot riding on it. Obviously, the Emirates has been a place where we've been so strong this season.
“It's a tough loss to take, but we have to stick together. We go again next week; we'll try and get back to winning ways.
“In football, you can score, you can concede - it's your reaction after it. Obviously, we would have wanted to make it 2-0, but we didn't. Overall, we're just not too happy with the performance.”