Max Dowman struck twice, but the Gunners were beaten 4-3 by Atletico on Tuesday.
Horseman told the club's website afterwards: "It was the most chaotic game I've been involved in for a long time, which was probably really exciting to watch.
"We got ourselves into really strong positions in the game, both score-wise and positionally at times. We just said in the changing rooms that today probably sums up our competition so far. We don’t feel like we've lost three games. In the games, I think we've kind of given them away, which is part of a young player's development.
"But we're sat here now and feel like we should have almost qualified, and yet we're on zero points. It's going to be a tough gig, to have to win three out of the last three matches and hope results go our way.
"The management, the learning from turning balls over is too easy. That was really our biggest problem today, and probably has been our in the whole competition, because we get ourselves in such strong positions and then just don't manage the territory of the ball well enough."