Cesar Azpilicueta gave the visitors the lead at the Emirates Stadium after a mix-up between Carl Jenkinson and Jack Wilshere before Juan Mata struck to seal the Blues' progress through to the fifth round.
"It is a bit disappointing of course," Vermaelen told the club's official website. "I don't think they had a lot of chances to be honest, especially in the second half when we dominated the game.
"The first goal is always important, you always want to take the lead in such a big game. It's quite disappointing they got a 1-0 lead, it was a goal we could avoid - I think both goals [were avoidable]."
Arsenal are back in Premier League action on Saturday when they host title contenders Liverpool.