Aubameyang had his penalty saved by Watford goalkeeper Ben Foster as the Gunners at Emirates Stadium, with Emile Smith Rowe scoring the only goal of the game.
That is the second time in a row Aubameyang has missed from the spot after Aston Villa goalkeeper Emi Martinez saved his effort last month too.
Aubameyang has failed to score from four of his 13 Premier League penalties for Arsenal; with only Ian Wright missing more for the club in the competition.
But asked if Aubameyang may now be taken off penalties going forward, Arteta replied: “He will stay on penalties if he happy to do so.
“You will miss if you take penalties, that is part of your career and the job and we will try to help him.”