Arsenal dominated for long periods at Old Trafford but paid for their wastefulness as they went down 3-1 in their first big test of the season.
The Gunners left Manchester with a sense of injustice after Gabriel Martinelli had an opening goal controversially ruled out.
Referee Paul Tierney judged Christian Eriksen had been fouled by Martin Odegaard in the build-up after he was ordered to the pitchside monitor by the VAR.
Arsenal missed several good chances before being picked off by United in the second half, as Marcus Rashford scored twice to secure a big win for Erik ten Hag.
Arsenal manager Mikel Arteta said his side had been taught “a big lesson”, and Jesus believes the Gunners must learn to turn their periods of domination into goals.
“The feeling is frustration, because we control the game and were better than them,” said Jesus. “And then we just concede. But now is the time to learn from it and improve. We are doing so well this season, but there are still things to improve for everyone. Everyone is together and we stick together until the end, and that’s it.
“We came to play against a strong opponent and it’s always hard, it’s the Premier League. So we are not happy, because we played so much better [than United].
“But that’s football, if you don’t go there and kill, you are going to have a big problem — and that’s what happened today.”
Despite their defeat, Arsenal remain top of the Premier League by a point, and Jesus, the £45million summer signing from Manchester City, has backed them to bounce back.
The Gunners are next in action in the Europa League on Thursday, when they travel to Zurich. They then host Everton in the Premier League on Sunday, and Jesus has called for unity after a disappointing afternoon in Manchester.
“If you look at our team, you can see we are still young. It is the youngest team in the League, in the toughest league of the world,” said Jesus. “We are playing so good and then we play against an opponent, who is young as well, but we have to learn from it.
“We have to, like I said, stick together and improve as a team and don’t think about this one. This one is gone. We have to learn and then do better next time. We are playing so well, so good, but no one is perfect. No team in the world is perfect and we have to play to try to score and don’t concede.
“That’s football and we are doing this, but sometimes the opponent has quality as well. They come and they can score. I think now it is our challenge to improve a lot of things and come back strong.”
A tough day for Arsenal was made even worse when Emile Smith Rowe pulled up during a warm-down after the game.
The midfielder, who had replaced Odegaard in the 73rd minute, looked distressed and headed down the tunnel with assistant coach Carlos Cuesta while the rest of the substitutes finished the session.
Smith Rowe will now be assessed by Arsenal medical staff in the coming days to discover the full extent of any injury.