Early in the second half, after Thomas Partey was beaten for pace by Ederson and pulled the Brazilian back, referee Clementin Turpin awarded a spot-kick.
However, Retegui was unable to stand and deliver thanks to the heroics of the Gunners keeper, who first dived to his right to beat out the penalty.
As the ball looped up, Retegui must have thought he had the simplest of headers, from six yards out into an empty net.
But Raya incredibly managed to get back to his feet and throw himself over to his left to claw the ball out from on the goal-line.
"I witnessed two of the best saves I have probably seen in my career to save us in that moment," said Gunners boss Arteta.
"Last year he was already very important but this season he has started exceptional. Today he kept us in the game, that's the reality.
"I don't know if hes the best in the world but he's been exceptional for us, that's for sure."
As a lengthy VAR check took place before the penalty was awarded, Raya was deep in conversation with Gunners goalkeeping coach Inaki Cana.
"I wanted to speak to him to more sense what to do and what not to do," the Spanish keeper told TNT Sports.
"There was a long time to decide if it was a penalty. It's credit to him as well."
Gabriel Martinelli had a late chance to win it for Arsenal after he was put through on goal by substitute Raheem Sterling.
But the Brazilian striker was off balance as he snatched at his shot and lifted it over the top.
It was not exactly vintage Champions League fare in northern Italy, with Arsenal blunt in attack and Atalanta not particularly ambitious either.
But after the tension of the north London derby win at Tottenham and ahead of Sunday's top-of-the-table clash with Manchester City, Arteta was not too unhappy with an unspectacular point.
Arteta will know, however, that they will have to raise their game considerably if they are to trouble the champions at the Etihad.
"We lost control of the game because we were very inconsistent with the ball," added Arteta.
"Defensively we didn't suffer, that's the reality. We had a late chance with Martinelli to win the game but unfortunately it didn't go in. We have to improve."