The goalkeeper was left frustrated after the Ligue 1 side's narrow defeat, while Mathieu Valbuena felt they deserved at least a draw
Elie Baup's men dictated play for large periods of the game and Andre-Pierre Gignac, Mathieu Valbuena and Andre Ayew came close to breaking the deadlock.
However, Arsenal eventually proved to be the more clinical of the two teams as Theo Walcott and Aaron Ramsey found the net before substitute Jordan Ayew pulled one back from the penalty spot.
"These kind of games hinge on the small details," Mandanda told Canal +.
"It's infuriating to lose like this, 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 yet."
Valbuena, meanwhile, 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. 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."