Sead Kolasinac canceled out Victor Moses' opener at Wembley before the Gunners claimed glory in a dramatic penalty shoot-out.
After the match, Blues boss Conte highlighted two incidents - Pedro's straight red card and Willian's booking for simulation.
The Italian chief claims he didn't see either flash point and was cautious with his comments about referee Bobby Madley's decisions.
Conte said: "I didn't see the situation [with the sending off].
"For me for this reason it is very difficult for me to say something about this decision.
"This is the second game, after the FA Cup, that we finish with 10 men.
"I heard there was clearly a penalty [in the first half] but I did not see."
Chelsea were disappointing against Arsenal, especially with their woeful penalties.
The west Londoners will have to improve when they kick off the defence of their Premier League title against Burnley next weekend.
Conte added: "We are working, we are trying to do our best.
"We had a tough pre-season, between the six days until we start the league it is important to be focused on the next game."
