Man United gave it everything at The Emirates but fell short, defeated 3-2 after a last minute goal.
Rashford scored United’s opener, hitting his 17th goal of the season with an outstanding effort.
Rashford wrote on Twitter after the game: “Never easy to lose a game like that at the last minute but we go again! We’re heading in the right direction and need to remain positive.”
Speaking honestly after the game, defender Luke Shaw says Manchester United’s poor second half performance meant they could have no complaints.
Shaw told BBC Sport: “In the second half we deserved that. We were a bit passive and let them control the game completely.
“We were fighting to the last second but we have to concentrate for the full game and one lapse in concentration could cost you a goal.”
Erik ten Hag only made one substitution, bringing on Fred, who had no impact on the game.
The match had started well for United, with Rashford scoring the opener. However, a defensive mix-up led to Arsenal scoring an equalizer just seven minutes later.
Arsenal took the lead early in the second half before a header from Lisandro Martinez brought United back level.
From there, United were up against it, and struggled to create any chances aside from the odd counter attack, and would have taken a draw.
Then a late lapse of concentration saw Arsenal win it late. Back in fourth place, United still have plenty of work to do to improve.