The £72million summer arrival had the chance to put Emery’s side ahead during the first-half after being left unmarked in the middle with Sead Kolasinac crossing from wide.
But he only slightly touched the ball and squandered the chance to score the opener.
Unai Emery has bemoaned Nicolas Pepe’s miss during Arsenal’s loss at Sheffield United
The Arsenal manager suggested that it was ‘key’ as his side went on to lose the game 1-0
Lys Mousset would go on to bag for the hosts later in the half and Arsenal were unable to overturn the deficit.
And Emery has admitted Pepe’s lack of ‘efficiency’ in front of goal cost his side on Monday night.
‘The chance for us, for Pepe, was the key,’ he said. ‘Because if they score the first goal, defensively they’re very strong.
‘Pepe is improving I think, but his way with us is little-by-little getting better, and the next step is to score.
He suggested Pepe did not take the chance with enough efficiency to put it into the net
‘Tonight for example, the best chance is one he is usually going to score, but he didn’t take it with efficiency.
‘He is improving and taking confidence, but it is one process.’
Pepe has not scored from open play since making his club-record move from Lille in the summer transfer window.