"It's obviously a great achievement to get the win, get through to the next round and also get the clean sheet," Dann told BBCSport. "We were on a high from the previous results we've had in the league.
"But we knew it would be a tough a task coming here. We knew we had to dig in and cut down the space we gave them. We did that very well.
"When you come here and look at the team-sheet they've always got 11 top players on it. So we didn't look at their team-sheet before the match and gain confidence from their side."
The loss marks the first time that Arsenal have been knocked out of the competition by lower league opposition during Arsene Wenger's reign.