The Blancos fullback was stunned that Mesut Ozil joined Arsenal, while Isco also lamented the German international's departure from Estadio Santiago Bernabeu.
The Germany midfielder left Estadio Santiago Bernabeu on transfer deadline day in a 50 million euro move to head to the Emirates, fighting off reported interest in the 24-year-old from the likes of Paris Saint-Germain.
"I'm a little surprised about the transfer," Arbeloa told reporters on Tuesday. "It's a shame and a big loss in our locker room, personally and in footballing terms.
"He said goodbye on Sunday, but I thought he was joking. Ozil is different, there is no one else like him in the world. He makes such a difference."
Fellow Madrid star and Spain international Isco - whose arrival in the summer is considered one of the reasons for Ozil being cast out of the Liga giant - lamented the ex-Werder Bremen starlet's exit to London.
"Actually, I was surprised that Ozil left and more so because he said last week that he was going to stay," Isco said. "Ozil, we all know, has great quality and is a player can change the balance of a game."