The first-half finished 5-2, with Arsenal having jumped to a 0-4 lead at London stadium.
Lopetegui said, "It was a very frustrating match for us.
"It was a very strange first half above all. I think that when you see the score, 2-5, you think that it has been an incredible storm, but it wasn’t like that.
"I think that it happened in a lot of little details. We didn't do well, it's true that we have to do better, but (they have scored) with two penalties, one set-piece action. I think that it was very, very close with (Lucas) Paquetá (being fouled on the corner when Gabriel scored the first goal).
"We have to review all our understanding about the rules. That was very, very clear in my opinion. And that was the first goal, I think that it was tough for us.
"I'm very sad, and then suddenly the second goal, I think it was an action that we had to defend better.
Emerson celebrates his goal against Arsenal
"After that the fifth goal was key, because we had good energy.
"There was energy about us after the second goal by Emerson, thinking that with one goal more we are very close to getting back level.
"And the fifth goal with one very, very soft action for the penalty, when Łukasz said he touched the ball.
"I think that we were unlucky with the decisions, in my opinion, the first goal and with the fifth goal.
"It’s very difficult to compete when being three goals down, but I think that the players did well in the second half.
"They showed character and they competed.
"And we had to score the third goal to have any expectation, but we didn't, and we have to accept (the result). We are very sad and we have to look forward to the next challenge.
"In three days we have a big challenge, a tough challenge against Leicester. So we have to be ready to recover our mentality, our intensity and to be able to compete there."