The Gunners were on the front foot for most of Thursday's first leg at the Emirates Stadium after Atleti defender Sime Vrsaljko was dismissed for two yellow cards in the first 10 minutes.
"It's disappointing to concede a goal at the end after taking the lead," Welbeck told BT Sport. "We will do our own analysis on their goal and make sure it doesn't happen again.
"This game is done now and there were opportunities for us to score more against a good side, so we have to be positive going into the second leg.
"It's a semi-final - we wanted to win before the manager announced he was leaving and we wanted to win it after. We are professionals but seeing him lift the trophy would be the icing on the cake."
The return leg takes place at the Wanda Metropolitano next Thursday.