"The chances we had in the game were incredible," Fergie told told Sky Sports after the 2-1 defeat at The Emirates Stadium.
"It was the area in which we let ourselves down.
"I think if we'd got one when Ronaldo got his great chance, then we'd have got something out of the game.
"It was fantasy football, it was like playground stuff - you attack, we attack - and as Arsene Wenger has said they got the goals that mattered.
"In fairness to my own team, after the second goal their determination and drive to try and rescue the game was fantastic, and we probably deserved something from the game, I think.
"Some of the football out there today from both teams was magnificent. I don't think you'll see a game as good as that anywhere else in the country.
"Sometimes you just have to hold your hands up and say 'if you're going to get beaten, just make sure it's by someone who's going to play football', and Arsenal played good football at times.
"They were not as dangerous as us in attacking play but they got the goals that mattered."