Brazilian midfielder Daniel Carvalho fired home midway through the first half for CSKA, but an 86th minute strike by Arsenal's Thiery Henry was ruled out by Spanish referee Manuel Mejuto Gonzalez for a hand-ball.
Gonzalez ruled that the French striker used his arm to control the ball before taking his shot – a decision that Gunners manager Arsene Wenger disagreed with.
"It was a goal, but sometimes referees cancel good goals because they didn't see things," Wenger said.
"Tonight, we had a new thing because they cancelled the goal because they saw things that didn't exist.
"It was a very bad decision."
Wenger also took time to blame the Lokomotiv Stadium playing surface for his team's loss.
"The quality of the pitch was also a big handicap for us.
"We had an October pitch in Russia and UEFA must look into it because it is not acceptable."
Arsenal had much of the early possession, but as has been the case in some of their English Premier League matches, declined to shoot at goal, preferring to pass the ball around instead.
That left the hosts to open the scoring after winning a free kick at the top of the box in the 24th minute, with CSKA captain Sergei Ignashevich setting up Carvalho for a thundering strike that pierced the Arsenal wall giving keeper Jens Lehmann no chance.
CSKA then grew in confidence with Carvalho almost adding a second with a dipping shot from outside the box, before a Vagner Love effort was ruled out for offside in the 35th minute.
The Russian side played more defensively in the second half and managed to keep Arsenal out, apart from an offside effort from Kolo Toure who set up Gilberto Silva to no avail, and the dubious Henry hand-ball call.
The two teams meet again in London on November 1.
Goals flow around Europe
Meanwhile, a total of 24 goals were scored in the other seven UEFA Champions League fixtures on Tuesday.
Madrid's Diarra Mahamadou (C)
with Steaua's Daniel Oprita (L)
In Group E, Lyon continued their unbeaten run with a 3-0 win away to Dynamo Kiev in Ukraine while Real Madrid returned to goal scoring form in a 4-1 win against Steaua Bucharest in Romania.
Juninho opened the scoring for Lyon at the Kiev Olympic Stadium with a goal in the 31st minute, which was added to seven minutes later by Swedish midfielder Kim K?llstr?m to make it 2-0 at half time.
French midfielder Florent Malouda completed the rout early in the second half, scoring in the 50th minute to give Lyon three wins from three, maintaining their three point lead over Real, while Dynamo have lost all three of their matches so far.
The 'Galacticos' ran riot in Romania with four different scorers netting for the visitors.
Sergio Ramos (9'), Raul (34'), Robinho (56') and Ruud van Nistelrooy (76'), all scored for Real, while forward Valentin Badea managed one goal for the home side in the 64th minute.
Group F action saw 3-0 wins to both home teams as Celtic defeated Benfica in Glasgow, while Manchester United beat FC Copenhagen at Old Trafford.
It was 0-0 at half time at Celtic Park, but striker Kenny Miller soon changed that with goals in the 56th and 66th minutes, before substitute Stephen Pearson finished the visiting Portuguese side off with a 90th minute strike.
In Manchester, goals to Paul Scholes and John O'Shea either side of the break, plus an 83rd minute goal from Kieran Richardson saw off FC Copenhagen and ensured United remain top of the group undefeated.
The other match in Group G saw Porto get out to a 4-0 lead before Hamburg pulled a consolation goal back at the Estadio do Dragao in Portugal.
Lille's Mathieu Robail (R) vies with
AEK defender Georgeas Nikos
Striker Lisandro L?pez bagged a double for the home side, while fellow forward Helder Postiga and midfielder Luis Gonz?lez also contributed to Hamburg's demise, although Piotr Trochowski gave them something to take back to Germany with a late goal.
In Group H, AC Milan scraped home 1-0 against Anderlecht in Belgium after Milan defender Daniele Bonera was sent off in the 47th minute for his second bookable offence.
Brazilian midfielder Kaka saved the Italian club's blushes with a goal in the 58th minute to keep Milan at the top of the group.
Finally in France, Lille defeated AEK Athens 3-1 in a match where nine yellow cards were handed out, but no players were dismissed.
Lille midfielder Mathieu Robail opened the scoring in the 64th minute, but four minutes later AEK equalised through substitute Vladimir Ivic.
With the match in the balance, Lille substitute striker Daniel Gygax put the home side ahead with eight minutes remaining, and the win was complete when midfielder Jean Makoun scored in injury time.