The Brazil international saw referee Jonathan Moss point to the spot shortly after the hour mark at Emirates Stadium.
Ole Gunnar Solskjaer was quick to bemoan the decision after seeing his side suffer a 2-0 defeat in north London, with the match officials considered to have done United few favours.
Fred agrees with that assessment, with the 26-year-old claiming to have barely touched Lacazette before the Gunners striker went to ground.
He told ESPN: “It wasn't a penalty, I touched Lacazette on his upside in a normal game situation.
“If it was in the middle of the field, I believe he wouldn't whistle, but he decided to give the penalty.”
Defeat to Arsenal was United’s first in domestic competition under interim boss Solskjaer.
They have slipped out of the Premier League’s top four as a result.
Fred, though, insists that the odd setback is to be expected when challenging on multiple fronts.
“Unfortunately, defeats are part of the game,” said Fred.
“We were on a great run since Ole arrived, with no losses.
“But we must put our heads up, because the next game will be difficult in the FA Cup, so we must work this week, focus on mistakes, not let them happen again and go for the win always.”
After taking on Wolves, domestic action will shut down for the international break.
United will then return to Premier League duty on March 30 at home to Watford, with Solskjaer’s side looking to bridge the gap to those above them and clamber back into the Champions League spots.