Jesus completed a deadline-day move to Barcelona for £12.8 million after four years in north London, with Arsenal having made clear he was not part of Arteta's plans for the season following the arrival of Viktor Gyökeres and the club's continued reliance on Kai Havertz up front.
Speaking in an interview given in Spain this week, the Brazilian said he had been made to train away from the first team without any explanation from the club.
"The truth is, I was training, I did the entire pre-season normally with Arsenal," Jesus said.
"I already knew that, probably, I wouldn't play as much or wouldn't have as many opportunities. But nobody told me anything.
"I'm a professional. Obviously I was training with the group and out of nowhere they put me to train apart from the group."
The comments followed criticism from Ian Wright last month over the club's treatment of Gabriel Martinelli, with the former Arsenal striker claiming the Brazilian winger had been left in the dark over his future after being omitted from two matchday squads before his own move to Al Hilal.
Asked about Jesus' remarks in his pre-match press conference ahead of Saturday's Premier League trip to Sunderland, Arteta said he had not expected the comments.
"Very surprised, to be fair," he said. "Especially because with Gabi I had an individual talk in the dressing room. I don't know what the words [by Jesus in public] were said, it's fine.
"The words that we used for each other, it was all about gratitude.
"It's ok, I understand. Sometimes when you have to deliver bad news or news that people don't expect, those things are reactive.
"Somebody has to be the bad cop. If I have to be, I have to be. I understand."
Jesus has since scored for his new club, heading in from a Lamine Yamal cross during Barcelona's 5-1 win over Feyenoord in the Champions League in midweek, having previously spent four years at Arsenal after his own move from Manchester City in 2022.
Leandro Trossard, who also left Arsenal over the summer, returned to the Emirates Stadium last weekend to watch the 2-1 win over Chelsea from the stands before visiting his former teammates in the dressing room afterwards. Arteta said he hoped Martinelli and Jesus would do the same in time.
"What's important is what happens three months later, six months later," Arteta said.
"When Trossard comes into the dressing room with all of us, the atmosphere and the relationships you have.
"Thank God so far, with all the players that have left, at some point the relationship has been really good. I hope that's the same case."