The Potters were arguably the better side in the first half of the Premier League encounter, but second-half goals from Pierre-Emerick Aubameyang, who
scored a brace, and Alexandre Lacazette secured a comfortable win for the hosts.
However, Lambert has blamed a poor penalty decision for his side's defeat. Mesut Ozil went down in the box under Bruno Martins tackle, which resulted in a spot-kick that Aubameyang scored to put Arsenal 1-0 ahead, but replays suggested it was a fair challenge.
Lambert is convinced that it was a crucial turning point in favour of the hosts which could have been prevented with VAR.
He told Sky Sports: "I thought we were really hard done by. The first penalty isn't a penalty. I will go and see the referee, but it's not going to change anything.
"He's got to be 100 per cent right that's a penalty. Clearly, the TV shows it's not. Bruno says straightaway afterwards that he got a toe-poke on the ball and the TV sees it.
"I've seen VAR work. I saw it in Germany and it worked seamlessly, absolutely no problem at all. We bring it over here and it seems to be confusing. In those sort of instances (the first penalty), absolutely (it should be used).
"Because the way the game's going, the referees maybe need a little bit of help as well.
"In big moments in big games, I think you've got to be 100 per cent right to call them, especially in the magnitude of the game. It was a game-changer."