Elie Baup's men dictated the play for large periods of their first Champions League encounter since April 2012, with Andre-Pierre Gignac, Mathieu Valbuena and Andre Ayew all going close.
However, it was Arsenal who proved to be the more clinical of the two teams, the Premier League side clinching the points through goals from Theo Walcott and Aaron Ramsey before substitute Jordan Ayew pulled one back from the penalty spot.
France international Mandanda was left irritated by the defeat, but is still hopeful that Marseille can qualify for the knock-out stages from Group F.
"These kind of games hinge on the small details," he told Canal +
"It's infuriating, because it was not a bad (performance).
"Before the goal, we had not conceded too many opportunities. It is what often happens in the Champions League.
"Now we must continue. This is not done."
However, Valbuena lamented the individual errors that he felt cost Marseille at least a point.
"It was said at half-time that if we cannot win we must not lose," he explained.
"It's a shame because we had more chances than them.
"This is the top level, errors will be punished. We have already experienced it. We feel we can win but in the end we did not win."
