The Gunners took the lead after just 13 minutes on Thursday evening at Old Trafford through a bizarre goal scored by Emile Smith Rowe, when David de Gea was down injured in the goal.
Manchester United drew level just before half time when Bruno Fernandes struck, while goals then flowed early in the second half with Cristiano Ronaldo making it 2-1 for the hosts and Martin Odegaard pegging them back two minutes later, in the 54th minute.
Odegaard then gave away a penalty through a challenge on Fred and it ended 3-2, with Manchester United picking up all three points.
Arteta brought Aubameyang off in the 79th minute, bringing on Alexandre Lacazette, with Arsenal chasing a goal – and Gunners legend Henry is baffled.
“One thing I couldn’t understand is, Aubameyang is your captain, he is your goalscorer, you put him as a captain”, he said post match on Prime Video.
“Fifteen minutes to go, you are losing 3-2, and you take him off.
“3-2, away from home, and you take your captain, your symbol, off the field, and you know he can score you goals.
“So something is not right there.”
Arsenal have now lost two of their last three Premier League outings and Arteta will look for his men to return to winning ways when they travel to Everton on Monday evening.