The Terriers suffered a third straight defeat after Lucas Torreira sealed all three points for Arsenal with a spectacular strike seven minutes from time.
Until that late winner, Huddersfield had seemed on course for a hard-fought point after producing a performance that Wagner admitted made him feel “proud”.
Burnley’s 1-0 victory at home to Brighton & Hove Albion was enough to dump Town back in the relegation zone, Sean Dyche’s men having a two-point advantage over Yorkshire’s sole top-flight representative.
But, with back-to-back home games coming up against Newcastle United and Southampton, Wagner insists his players should look forward with confidence.
“I did not need this game against Arsenal to show me we have improved,” the Terriers chief told The Yorkshire Post.
“I have seen this in recent weeks. When we compare our game on Tuesday against Bournemouth with last season and how we dominated, you can see the difference.
“We have improved and made our steps. Performance-wise, we are consistently on a very high level and this was a good test against the top level.
“The players showed again that they can compete at this level. We did not get the points, this is the truth. But I know you only collect points if you deserve them. That is what we have to do.
“We deserve more points than we have – and to get points in the future, we have to keep those performances. This is exactly what we will do.”
Town lost Jonathan Hogg and Tommy Smith to groin and hamstring injuries, respectively.
Club captain Smith had to be stretchered from the field and looked to be the most serious but Wagner will assess the duo along with Terence Kongolo and Aaron Mooy, who both suffered knocks to the knee during the 1-0 defeat in north London.
Huddersfield are about to embark on a potentially season-defining schedule with four of their next five fixtures against relegation rivals.
These include the trip to Fulham and the home game with Burnley that will end 2018 and then kick off the New Year.
Asked about Town’s upcoming run, Wagner added: “Six weeks ago, we had a similar situation where people were saying: ‘These are the games you have to collect points’.
“Then we played Fulham and West Ham at home, and now we play Newcastle and Southampton at home.
“Usually, to collect something against teams like Arsenal then it is more difficult. But that is our job. Every game is a game we have to play.
“After how we performed against Arsenal and how we have performed in recent weeks, I am really looking forward to the next games.
“I am more than excited about what is in front of us.”
As with the defeats against Brighton and Bournemouth that preceded the loss at Arsenal, Huddersfield deserved reward for their efforts.
Defensively, Town were resilient with an illustration of how frustrated the Gunners became being how Matteo Guendouzi, Granit Xhaka and Shkodran were booked for diving.
Wagner was rightly pleased with the fighting spirit displayed by his side in an often tetchy game that saw referee Paul Tierney show nine yellow cards, including five in as many minutes before the break.
“Arsenal have intensity, aggression and speed when pressing opponents,” added the Terriers chief after Arsenal had extended their unbeaten run to 21 games. “Everything is much more intense and this is why they are where they are.
“But we took the speed out of their game, we limited their intensity and speed. We were able to frustrate them with our set-up and limit their offensive strength.
“In both halves, I felt we limited their offensive strength very well.”
As for the quartet of injuries suffered at the Emirates Stadium, Wagner added: “We will make further investigations with all of them to see how serious they are.”
Match report: Page 3