"We didn't play well at Southampton and that's the end of the story," said Henchoz.
"At the same time I don't really think we deserved to lose. In that sense we were a bit unlucky.
"The facts show that we haven't been picking up enough points over recent games and that has to change. You can't drop points if you want to win trophies. Our record over the last six or seven games is poor and that's the reason why we're fifth in the table and not first.
"I wouldn't say we have to win at Arsenal but certainly we have to get a result. It is a game we are looking forward to and one we are capable of taking three points from - if we play well."