Palace played their part in an enthralling first-half, creating plenty of chances, but found themselves 3-1 down at the break.
The Eagles continued to press after the interval - Ismaïla Sarr - going close with a header that forced an excellent save from Arsenal keeper David Raya, but the fourth Gunners goal took the game away from Palace. For Guéhi, the difference between the two teams was epitomised by how the visitors took their chances.
"We're disappointed," Guéhi told Premier League Productions. "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."
Much has been made of Arsenal's threat from set-pieces throughout this season. But the skipper felt their second goal - which came from a corner - was more down to lack of concentration when defending, rather than being inevitable.
"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."