The Germany defender was signed by the Frenchman two years ago after the Gunners agreed a £35m deal with Valencia.
However, Mustafi has flattered to deceive at times within the Arsenal backline and looked jittery during the 2-0 defeat against Manchester City last weekend.
Up next for the North Londoners is a meeting at Chelsea on Saturday, and Mustafi believes that he is at least beginning to reap the benefits of Unai Emery's more communicative approach.
"[Emery] told me the positives in my game and what to work on," the 26-year-old is quoted by The Metro as saying. "I'm happy because it's difficult when you never know what to work on because no one tells you.
"Playing against Man City, it's not easy to put everything you have been working on onto the pitch. Maybe against other teams you can get away with one or two mistakes. The next game is Chelsea - we can't make too many.
"But if you are scared of making mistakes, that's when they happen. We have to be sure about what we want to do. We are trying to play a different game from last year. If we're confident, we'll get results."
Arsenal have won just once at Stamford Bridge since 2008.