The Brazilian centre-back was one of several people injured in the disturbing scenes at a supermarket in Carrefour, Serie A club Monza have confirmed.
Arteta, whose side suffered a Europa League defeat against PSV, issued a brief comment on the situation while speaking to the media after the game.
“I just found out,” he said. “I know what [Arsenal technical director] Edu contacted his relatives and informed them that he is in the hospital and seems to be fine.
“But I don’t know, I’m going to have a situational briefing right now, what happened, and obviously we’re going to be in touch with him and hopefully he’s OK.”
Arsenal released a club statement explaining that they had been in contact with Marry’s agent.
“We are all shocked to hear the horrific news of stabbings in Italy that have left several people in hospital, including our on-loan centre-back Pablo Mari,” it said.
“We contacted Pablo’s agent, who informed us that he is in the hospital and was not seriously injured.
“Our thoughts are with Pablo and the other victims of this terrible incident.”