The result leaves Palace four points clear of the dropzone.
Guehi said: "We're disappointed. It's not nice to lose that way. Heads are down and we have to go again. There's moments we create for ourselves every single game, today we didn't take them and they did.
"But I think tonight it was about both boxes. When we look back on it we didn't defend well and a top team like Arsenal will punish you. We have to go again, look at the areas we can improve and take this game with a pinch of salt."
On facing Arsenal's set-piece threat, he added: "We should have done better with the goal they scored when it was two versus two, but we didn't follow our men on the second phase. Other than that I thought we actually dealt with their set-pieces quite well."