Chelsea striker Salomon Kalou hit the winner for the Ivorians late on in a game that saw Perth Glory attacker Nikita Rukavytsya miss a hatful of chances.
With Nathan Burns and Bruce Djite doing their preseason with European clubs AEK Athens and Genclerbirligi respectively, Arnold lamented: "We had nerves in our first game, but against Argentina we were outstanding and we were outstanding again today.
"The difference in the game was Kalou.
"He's a big player and he made all the difference today. We've had problems scoring with this team. This is generally a problem with all levels of Australia's national teams.
"Disappointment aside, I am proud of the work the players put in and I think we have developed as a team."
Perth Glory defender Nikolai Topor-Stanley added: "We improved with every game here, but we just came up a little short."