The incident happened with around 15 minutes to go in the game at Turf Moor, which finished 1-1, with the ball striking Burnley defender Erik Pieters’ arm after Nicolas Pepe tried to flick it over him.
Referee Andre Marriner waved away claims for a penalty, with VAR confirming the decision, but Arteta was at a loss as to why.
Asked if Arsenal should have been given a penalty, he said: “Absolutely.
“I think it is obvious and clear. I think there is no debate about that. If that’s not a penalty, then someone will explain what a penalty is in this league.”
Arsenal took the lead inside six minutes through Pierre-Emerick Aubameyang, but they were pegged back just before half-time.
Granit Xhaka tried to play out from inside his own area, but his pass only proceeded to go into the Arsenal net off Chris Wood’s hip.
“It can happen in football,” said Arteta. “We did it using Bernd [Leno] and trying to use the holding midfielder in that situation.
“We scored a goal from Auba that started all the way from Bernd Leno and we conceded one chance and that chance comes from Bernd kicking the ball long and we could not control the second ball.
“It is what it is. It’s the way we play. It’s the way I want to play and we just have to know the risk and the rules we have in certain areas and the type of balls that we have to play.”
Despite that error, Arsenal could have won the game and they did indeed hit the post late on through Dani Ceballos’ strike.
Before that, they squandered other chances as both Bukayo Saka and Pepe went close.
And Arteta said: “We have to be more ruthless because there are open situations that we created, one-vs-one situations, cut-backs on the six-yard box.
“But it’s true, we hit the bar, we hit the post, we got a shot blocked when the goalkeeper was already beaten. But it is what it is. When you come here you want to be fighting with the top teams.
“You have to come out here and win the game comfortably. We haven’t done it because of the chances, because we gave the goal to the opponent and because we needed some decisions and we didn’t get them.”