Abafana Bes'thende lost 1-0 to the log leaders as they were undone by Bangaly Soumahoro's sixth minute goal at Princess Magogo Stadium on Sunday.
Arrows were surprisingly among the early frontrunners in the Absa Premiership title race but a nine-match winless run leaves them five points off the pace in mid-table after 14 games.
Larsen told his club's website: "So disappointed for the players that they got no reward for the performance they gave. We are proud of the efforts they continue to give regardless of the result.
"They went pound-for-pound with the best team in the country and at times it seemed as if there was a big yellow bus in front of us. You don’t always get what you deserve in football and today was proof thereof."
Larsen's men will host KwaZulu-Natal rivals Maritzburg United at the same venue this Sunday in their final game before the festive break.