United had lots of goalscoring chances during the match but were disappointing in front of goal.
Brazilian whizkid Rafael da Silva scored United’s only goal of the match.
Fergie told Sky Sports: “Without question, the area in which we have let ourselves down is not taking the incredible number of chances we had.
“It was fantasy football out there. It was playground stuff. You attack, we attack. And, as Arsene Wenger’s pointed out, they got the goal that matters.
“It was a great game of football. Some of the football from both teams was magnificent. You won’t see a game as good as that anywhere in the country.
“We gave away a bad goal. The second goal was really poor defensively. In the main our team performance was very, very good.
“Sometimes you have to hold your hands up and say that if you’re going to be beaten make sure it is against a team that plays football.
“And they played good football at times Arsenal. Not as dangerous as us in terms of attacking play. Nonetheless, they got two goals.
“In fairness to my own team, after we lost the second goal the determination to try and rescue the game was fantastic.
“We probably deserved something from the game, I think.”