Defeat at home to Bournemouth saw their lead on second-place City to six points, with the Sky Blues having a game in hand.
"It was a nervous performance from Arsenal and a big setback for them,' Keane said of the defeat by Bournemouth on Monday Night Football.
'It's OK being nervous, but it's how you deal with it. (I wasn't impressed with the) body language from certain players.
'They did overcomplicate things but they're still in a fantastic position. People like Rice, we talk about leadership skills, they've got to get a grip of people.
'People are looking at (Mikel) Arteta, the fans are nervous, but this is on the players. The fans aren't going to do it for you, the manager can only do so much. He's got a brilliant squad together and they're in a great position, do not let this slip.
'At this moment in time they're letting the nerves get the better of them. They've got to get a grip of that or they'll let it slip by.'