Having been handed a testing opening in 2018-19, the Gunners currently find themselves pointless.
Successive defeats have been suffered to Manchester City and Chelsea, with Unai Emery overseeing the club’s worst start to a top-flight campaign in 26 years.
While there is an obvious need to kick-start proceedings, Mkhitaryan claims to be baffled as to why Arsenal’s detractors have been so quick to condemn individual and collective showings.
The Armenian forward told BBC’s Football Focus: "I'm the worst critic in my football game and I don't need extra criticism.
"I know very well what I am giving to the team and what the team gives me."
Mkhitaryan added on a new era under Emery after 22 years of life in north London under Arsene Wenger: "We have a new manager and are trying to adapt to his philosophy and also his demands.
"It has been a tough start of course - we faced two good teams in Man City and Chelsea - but you don't have any easy opponents in this league.
"We lost the first game and the second one as well. But that's football. We just have to stay positive and continue working hard and the good results will come.
"We don't feel any pressure. We are not thinking that something is going wrong because we are moving in the right way even if we lost two games.
"I don't know why people are criticising so much. I'm not paying attention because I know if I've played bad or well."
Mkhitaryan recorded his first goal of the season in a 3-2 defeat at Chelsea last time out and is looking to reinvent himself at Arsenal to meet the demands of a new coach and playing style.
The former Borussia Dortmund and Manchester United star told the Gunners’ official website: “I don’t think you’re going to see the Dortmund Mkhitaryan, because in Dortmund the philosophy was different, the playing style was different, the league was different.
“Arsenal are playing in a different league with a different manager and different team-mates.
“I don’t want to see the old Mkhitaryan being here at Arsenal. I want to be someone new, someone else who can show that he’s capable of doing the same for Arsenal as well.
“I’m not just playing football to play, I’m always playing football to win games and titles.
“At the end of your football career, people are going to remember you for what you have achieved, what you have won. I’m playing to win titles, I’m doing my best for this club to win titles and of course that’s my main goal.”