The German international joined the Gunners on transfer deadline day for a club-record fee of £42.5m from the La Liga giants, and signed a five-year contract with the North London outfit.
While he admits that the club will eventually get over his departure, Arbeloa concedes that it was sad to Ozil leave the Santiago Bernabeu.
"I'm a little bit surprised, it's a shame, and it's a big loss to the dressing room, on a footballing level and on a personal level too," Arbeloa told reporters.
"He said goodbye to us on Sunday, but I thought he was joking. He's very different, there's no players like him in the world. He makes the difference on the pitch.
"He'll have his reasons for moving. But we will keep looking forward, we have other great players. I understand it's tough for the fans, they loved him. He is a phenomenon and got on well with everyone. It's a real loss."
Ozil will wear the number 11 shirt at Arsenal.