Reduced to ten men, the Blues were immediately put under pressure and United capitalised.
Arsenal weathered the storm and tightened their grip in the closing stages.
United remain keen on bringing the Slovenian attacker to Old Trafford.
Fernandes converted two penalties and got the other from open play as United came from behind to beat 10-man Real Sociedad 4-1 on the night and 5-2 on aggregate.
United have lost three matches and drawn one game this season.
Leandro Trossard gave Arsenal the lead 20 minutes into the game.
Four minutes before the end of normal time, Leandro Trossard sealed the win for Arsenal from a launching pass by Havertz.
“I said from January on we are (playing) finals, and we won many finals,” Ten Hag told reporters. “Now we lost one final.”
Goals from the duo of Bassey and Iwobi saw Fulham grab a crucial 2-1 win against United.
In other games, Manchester City have yet to win any of their last four league matches.
