The Red Devils, as they adapt to a new regime under David Moyes, have slipped eight points adrift of the Gunners, who have confounded pessimistic expectations of their own campaign.
It has led to suggestions that, if United fall any further behind, they will have no chance of retaining the championship they won by a massive 11 points during Sir Alex Ferguson's final season in charge.
May, who was supporting the Manchester United Foundation Chevrolet Trax eBay auction, made it clear he does not agree.
"We were 12 points behind Newcastle a few years ago and we managed to claw that back," he said.
"It's about whether Arsenal can sustain it.
"Everybody is beating each other at this particular time.
"There have been some funny results already and there are a hell of a lot of games to go.
"Arsenal still have Chelsea to play, they must go to Liverpool, they have Manchester City twice.
"Everyone is going to drop points. For United it is just a matter of hanging in there."
In the wake of Chelsea's surprise loss at Newcastle last weekend, May's former Red Devils team-mate Gary Neville claimed the vibe around the United dressing room would be that all their rivals were expecting them to make a move.
As May pointed out, challenging from seemingly impossible situations is part of the club's DNA.
And they underlined with their recent comeback win over Stoke that a change of manager will not alter that.
"From a very early stage in your United career it is instilled in you that you fight for every cause," he said.
"They have shown that with the last few results when they have had to dig in and grind it out results.
"The players deserve credit for that. They are just getting used to the way David Moyes runs his ship."
After taking time to adjust to the greater demands of being at a club the size of United, Moyes has shown signs of getting to grips with the job.
The Scot is rotating his squad far more than he did at the start of his reign.
He has shown an admirable willingness to speak out against his players, even if he backed Ashley Young over the diving furore that overshadowed Tuesday night's 0-0 Champions League draw at Real Sociedad.
Most importantly, he has won round Wayne Rooney, whose United career seemed to be over when he was dropped by Ferguson amid some rancour towards the end of last term.
"David addressed it the way it needed to be and people are seeing the best of Wayne now," May said.
"Wayne will admit he is probably playing the best football he has done over the last few years.
"He is back on form. He looks hungry, is scoring goals and creating chances as well."