Kai Havertz struck as the Gunners won 1-0.
McKenna said afterwards: "It was a difficult first 20 minutes, we got pinned in by a good side. We grew into the game well and turned a bit of momentum at the end of the first half and got into some good positions in the second half.
"There were a few situations late in the game where we could have shown more belief but we were too hesitant.
"It was important that we ended the game solid and feel we can be compact. We'll take confidence from that. The way we turned momentum to put the game in a good position for us, I think is something to take confidence from."
He also said, "The players worked really hard and we got the game to a good place in the second half after a good 20 minutes. Early on we were pinned in and couldn't get out but to where we were after 89 minutes I was really pleased.
"In the first half it was only the goal where I thought we needed to defend better. We were resilient and compact when we needed to be. Arsenal spent a lot of the first half in our defensive third but unable to penetrate."