The North London side was defeated at Bramall Lane, with Lys Mousset scoring a 30th-minute winner.
The winger should have put Arsenal in front after moving pass a begging chance and Emery admitted it was a turning point in the game.
Emery noted that with Sheffield scoring the first goal it was difficult for Arsenal to score because defensively they are a very strong team.
“Pepe is improving but the next step for him is to score.
“Usually, he is going to score chances like that but tonight, he didn’t take his chance,” Emery told Sky Sports.