Gattuso says his players "didn't play as a team".
He declared: “We knew this was going to be a very difficult match.
“We could've done more, but we didn't play as a team, so every time they attacked, it was a danger. Playing at this level is new to many of these lads, so we look forward without losing confidence. It was an off day and Arsenal deserved it. We'll learn from this.
“Our minds now go to Genoa, then after that we'll start to prepare for the second leg in London. You can never say never in football, so we'll go there and give it our best. We are certainly not going to the Emirates on a day trip.
“We are Milan and have a jersey to respect. We could've scored tonight, it's not over yet, but it's difficult. We'll give it our best shot.
“I expected Wenger to approach the game this way and it was our mistake giving Arsenal too much space. We allowed them to burst through our lines too easily and were always a man short.
“This result owes a lot to Arsenal and a lot to our own errors."