The Eagles have lost eight of their last 10 Premier League games and play at Watford on Boxing Day in what McArthur has labeled a "must-win" game.
"It is not nice being down there. But we need to win matches to get away from that and until we do we are in a scrap. Watford is a must-win for us. We need to turn our season around.
"We found it hard to create chances against Chelsea but there were a lot of positives. Defensively we were very sound and passed the ball better than we have in a long time."