The Belgian appeared to be caught smiling by the television cameras when the Spaniard smashed his spot-kick wide of the post in the shoot-out at Wembley.
Wow lol some people really believe I laughed at my teammate and/or us losing ? Sorry to disappoint but I wasnt— Michy Batshuayi (@mbatshuayi) August 7, 2017
Goalkeeper Thibaut Courtois also missed the target with his effort, with the Gunners converting all four of their penalties to win 4-1 after a 1-1 draw in normal time.
It was summer signing Morata's first competitive appearance for the Blues, with the 24-year-old striker replacing Batshuayi as a second-half substitute.
But after accusations that he was mocking his team-mate, the former Marseille forward has felt the need to clarify his stance on the matter.
He tweeted: "Wow lol some people really believe I laughed at my teammate and/or us losing ? Sorry to disappoint but I wasnt."
Chelsea now turn their attentions to the Premier League, with their first fixture of the 2017-18 campaign coming against Burnley at Stamford Bridge on Saturday.