The Blades won the match 1-0 thanks to a first-half strike from Lys Mousset.
But Emery says the Gunners were unlucky not to have a chance to equalise from the penalty spot after Sokratis was fouled in the box.
He told Sky Sports: "The scorer was with our goalkeeper and we had three players free to attack the ball. They gave us a key moment - the goal and another one when we should have had a clear penalty on Sokratis.
"Bukayo Saka drives forward but I do not know if it was a penalty. It is a hard action for a yellow card. With VAR, the foul on Sokratis should have been reviewed. it was clear but we have to accept it."