Robbie Keane missed the chance to level when he headed Andy Reid's pinpoint cross agonisingly wide just three minutes from time.
We also had a penalty appeal waved away late on when the ball appeared to roll over Ashley Cole's arm in the area.
The pattern of both halves was very similar with us enjoying spells of possession at the start and the home side finishing both stronger. In the end, Jose Antonio Reyes' goal midway through the first half was enough for the win.
"It's disappointing because we could have nicked a point," said Martin. "That's the truth. They played well but we have to learn a couple of things.
"If you defend and they play a through pass you have to work as a line and we didn't do that. That happened twice. They didn't have a lot chances in the first half even though they seemed to play well.
"They scored from one of those two situations. It might have been offside, it was on the edge, but we should have stepped up as well so it's about experience as well.
"We did better in the second half and our plan was if it was still 1-0 we would try to hit them in the last 10 minutes and it almost paid off.
"A draw would have been marvellous for us and that was the objective."
Martin Jol was disappointed we left Highbury empty-handed after Monday night's clash in the Barclays Premiership.