Goals by Carlos Alcaraz and Theo Walcott inside 15 minutes gave Southampton a shock early lead and when Duje Caleta-Car made it 3-1 in the 66th minute it appeared the Saints were set for a first win in seven league games.
Victory would have lifted them off the foot of the table and taken them to within a point of the safety zone and more importantly given the squad a massive boost of confidence.
But goals in the 88th and 90th minutes by Martin Odegaard and Bukayo Saka broke Southampton's hearts.
"That's two points dropped, but from me we showed something. For me it also two points dropped, but it is very hard here. I told them they did a fantastic job and we need to continue," Selles said. "We showed character and we showed what we can do.
"We are proud of the work ethic and that is the way we need to follow from now."
Southampton now have six games left to extend their 10-year stay in the top flight and captain James Ward-Prowse said failing to hang on against Arsenal was a "massive blow".
"We took our chances really well and we knew they'd come on in the second half. It's a good point to come here, but we are disappointed not to take all three," he said.
"We had lost our identity a bit and Ruben has definitely got that back on track with the high aggressive press.
"I think we tired towards the end and we came up against a world-class side. There here is still a lot of football. We've got to keep believing."