The midfielder bemoaned his side's inability to score several big chances in the game.
The Magpies were beaten 1-0 by Arsene Wenger’s side at the Emirates, with a goal from Laurent Koscielny sealing all three points for the home side.
They were unfortunate to lose the game though, having had several chances in the game to get the opening goal when it was tied at 0-0.
It was finishing that let them down on the day though, and Wijnaldum says they were left frustrated by their inability to put the ball in the back of the net.
"I thought we were the better side, we had good precision play and created chances but we didn't take them so it was going to be difficult,” he told BBC Sport.
"It's really frustrating. You know they have the quality to score but if we had taken two chances we would have won.”
"You must keep faith that you are going to score goals, but every time you don't you get frustrated and disappointed. But we have to keep our heads up and we must fight to get the points."
Newcastle’s failure to get the goal against the Gunners will surely now push Steve McClaren to look for a new striker in the January transfer window.
The Magpies have struggled for goals all season, scoring just 19 so far, the third worst tally in the Premier League so far.
So far his three strikes, Ayoze Perez, Aleksandar Mitrovic and Papiss Cisse have managed just nine goals between them in the league.
A new striker should be top of McClaren’s wish list then, although given it is a position many wish to strengthen, he may find that getting a goalscorer is easier said than done.