Raya saved Mateo Retegui's penalty in the 51st minute and then somehow got across the line to keep out the Italy striker's rebound header which looked destined to open the scoring for dominant Atalanta.
"He was a cat! The first save OK, but the one straight afterwards, that was fantastic," Atalanta coach Gasperini told reporters.
"For Mateo it was probably more of a mistake for the rebound than for the penalty. Obviously it made a big difference to the result but I'm sad for Mateo because he played his best game since he was here.
"Maybe the match would have finished 1-1 anyway but he deserved the goal."
Arsenal coach Mikel Arteta described Raya's heroics as "two of the best saves I've probably seen in my career".
"This season he's been exceptional," he said. "The two saves he made today kept us in the game, that's the reality.
"I'm really happy that he's in the form that he is at the moment."
