The Gunners beat Chelsea 2-1 in Saturday’s Heads Up FA Cup final at an empty Wembley thanks to two goals from captain Pierre-Emerick Aubameyang.
Arteta won the trophy twice with Arsenal as a player, is in his first managerial role.
“I think it’s even better winning this than as a player,” he told BBC 5 Live.
“It’s such a special day. Hopefully we made a lot of people happy. The players worked extremely hard. Thank you to all our staff and the people upstairs who made the decision to give me this incredible opportunity to manage a club that I have in my heart.”
Arteta, who replaced Unai Emery in December, is the first person to both captain and manage Arsenal to victory in an FA Cup final.
He is also the first manager to win a major trophy in their first season in charge of the club since George Graham in 1986-87.
“I am really proud of what we have achieved because I know the difficulties and everything we have been through,” said Arteta.
“For me personally, it has been so tough over the past six months with a lot of things that have happened in our lives but I had just one mission when I came here and that was to make the players and staff believe we could do it.
“We had to change that energy and that mentality and just by seeing them in the dressing room all together, and the way they enjoy their profession and their time together, it makes me more proud and as a consequence of that after we can achieve things and win titles together.”