The North London outfit are said to have organised special buses for supporters to ensure that their following support got to the Stadio Sao Paulo safely, but many were delayed and got caught up in traffic.
A statement from Arsenal said: "We are aware of the problems our travelling supporters had on Wednesday night and in particular their late arrival at the game.
"We are very disappointed for our fans that they had a difficult evening but the circumstances were beyond our control. We have launched an investigation to work out precisely what happened."
Arsenal ended up progressing into the final 16 of the tournament, despite losing 2-0 to Napoli.