Lys Mousset scored the only goal as the Blades won 1-0 at Bramall Lane, with Arsenal facing criticism after the game as many questioned their mentality away from home.
But Emery, whose side face Vitoria in the Europa League on Thursday night looking to bounce back, wants to look forward.
Unai Emery was left frustrated by Arsenal’s disappointing loss to Sheffield United on Monday
‘In my career it is normal to have, in difficult moments, the criticism of my work, my job and the players,’ he said.
‘We need to accept that but the focus is my next match and how we can improve. Really we are at the beginning (of the season).
Lys Mousset taps home from point-blank range in the first half as the Blades secured a 1-0 win
‘In the Europa League we have won two matches with very good results. We lost a very big opportunity on Monday to be third in the table, we are now fifth but have another chance on Monday.’
Arsenal will have the chance to bounce back from their disappointing trip to Sheffield immediately as they welcome Vitória Guimarães in midweek.
And on Sunday they will have an opportunity to move back into the top four when Crystal Palace visit the Emirates.
Arsenal lacked an attacking threat, with Lacazette and Aubameyang both drawing blanks