Marsden (left) and a dejected Southampton manager Strachan
Southampton manager Gordon Strachan accepted that his side were beaten by the better side in the FA Cup final.
But the Saints boss paid tribute to the attitude and application of his players after the 1-0 defeat at the Millennium Stadium in Cardiff.
Robert Pires grabbed Arsenal's winner but Saints strikers Brett Ormerod and James Beattie were both denied late on.
"We needed a bit of luck," said Strachan. "If you are giving away strength, speed, ability and
experience you need something on your side.
"And today we had huge hearts.
We are devastated - We gave it our all but unfortunately on the day it wasn't to be
Saints forward Brett Ormerod
"You can't enjoy the day if you get beat but you can be proud. We competed and we came off the field with no regrets.
"I am proud of what we did today even if at times we were outplayed.
"It will be easier to win in the future because we have tasted defeat on the big occasion.
"When we get there again the players will say 'I don't want that taste again'."
Ormerod thought he had scored when he struck his angled shot in the closing stages but Gunners keeper David Seaman proved equal to the effort.
"It was a good save. I just wish he had retired last week," joked Strachan.
"They made more chances but it has been a good experience. The players have given themselves memories.
"This season we've got to the Cup final, into Europe, finished eighth in the league and we're getting better crowds than ever.
"It's going to be hard to beat next season."
Ormerod (left) and Beattie sit dejected after FA Cup defeat
Strachan also applauded the performance of Arsenal striker Thierry Henry who gave Saints centre-backs a torrid time.
He added: "They're like two dead bodies in the dressing room.
"They have played against the world's best striker and I think it has aged each of them four years."
Chris Marsden could not hide his disappointment but predicted the side would bounce back to challenge for more honours.
"It's quite a sobering moment," Marsden told BBC Sport.
"We've had a taste of it for the first time for a long time. We want more.
"We have got a lot of young players here and they will be back."
Ormerod added: "We are devastated. We gave it our all but unfortunately on the day it wasn't to be.
"We thought we were unfortunate to be 1-0 down at half-time - but Arsenal are a class team."