The Bluebirds scored their first two Premier League goals this season. But Alexandre Lacazette's late strike was enough for the Gunners to claim a 3-2 victory.
Warnock said: "We had quite a lot of chances, with a lot of bodies in the box, and they've listened. We could have had six or seven and against Arsenal, that's the pleasing thing for me.
"It was tough, but I really enjoyed the game. We were always in it, we missed some great chances, and your top teams take a few of those."