The Gunners won the Europa League tie 1-0 thanks to Granit Xhaka's strike.
Van Nistelrooy said: "Defensively we fought as a team and we defended very deep, which I actually didn't want.
"In our build-up game we couldn't beat Arsenal's pressure, so there were a lot of long balls and they won a lot of the duels and then they started attacking straight away.
"In the first half I was very satisfied with the collective defensive play. We have conceded quite a few goals this season so it was a goal to get better at that and we have.
"We were hoping to get points here at the Emirates, so in that sense we are a little bit disappointed."
