Havertz had his penalty saved in the shootout, having also missed a close-range chance in the second-half of normal time.
Asked about picking up the attacker, Arteta said: "To him and to all of them, that I love them, that we all love them individually and as a team they are a joy. What this team produces every three days is incredible regardless of what happens.
"And I'm not going to lose sight of that because of our results or for two because we didn't deserve those results. What can we do better. Let's try to do it. It's very difficult to achieve. It's an emotional part. It's something related to confidence as well. But it’s very difficult to ask something else from our players."
On Martin Odegaard taking Arsenal's first penalty of the shootout after having his spotkick saved in normal time, Arteta said: "The first one that happens, when you want to take responsibility and leadership in a team, it can happen. He missed it.
"What I loved is that when I asked them, OK, who wants to take it? He was the first one in the sheet because I want to take it. And that's the players that we want. You're going to have difficult moments. It's how you respond to them. and he's the captain and he's the leader. And I love that he's done that today again."