Jesus ended his four-year spell with the Gunners in September and has since made it clear he felt disappointed with the way his exit was handled.
The Brazilian striker said in an interview this week that "out of nowhere they put me to train apart from the group", adding that "nobody told me anything" before he signed for Barcelona.
Responding to Jesus' criticism, Arteta insisted he had spoken to the former Manchester City star about the transfer and had parted on good terms.
"Very surprised, to be fair. Especially because with Gabi (Jesus) I had an individual talk in the dressing room," he told reporters on Friday.
"I don't know what words were said. It's fine. The words that we used were all about gratitude."
Arteta also came under fire from former Arsenal striker Ian Wright, who recently said he was "uncomfortable" with what he perceived to be a lack of dialogue between the club and Gabriel Martinelli, who moved to Saudi Pro League side Al Hilal on 3 September.
But Arteta used the presence of Leandro Trossard, who was sold to Besiktas in July, to watch Arsenal's victory over Chelsea last weekend as an example of the club's bond with their former players.
"I don't know, it's OK. Sometimes I understand that when you have to deliver bad news, or news that people don't expect, somebody has to be the bad cop. If I have to be, I have to be, and I understand," he said ahead of the Premier League champions' trip to Sunderland on Saturday.
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"What is important is normally what happens three months or six months later. When Trossard comes, he's in the dressing room with all of us, the atmosphere and the relationship you have.
"So far, with all the players that left, at some point the relationship has been really good. I hope this is the same case."
