Ronaldo refused to celebrate his two goals in a 3-0 victory over Granada on Sunday, and later admitted that he was feeling "sad" for "professional" reasons.
But Merengues defender Arbeloa revealed today that the squad knew nothing about the 27-year-old's malaise prior to his announcement.
Quoted in Marca, Arbeloa told reporters at the Spanish national team's base in Las Rozas: "He just needs more affection from everybody, I don't know, that's all we can give him.
"Everybody has the right to be sad, he's a person just like anyone else.
"He doesn't share the problems of most Spanish people but it's perfectly reasonable that he can be sad.
"When Cristiano says (that he's sad) then perhaps it makes more of an impression.
"We're all going to help him because he is our friend.
"I hope the fans haven't taken his words the wrong way. The media have great power and people are influenced by what they hear and read.
"He knows that he's with the best team and hopefully he'll stay here until he retires.
"And if the fans keep believing in him, he'll be remembered as a club icon. We will help him."
Watch: Ronaldo denies money is an issue... More Videos
Ronaldo was quick to deny that the cause of his depression was missing out on being named UEFA's best player in Europe, with the award going to Barcelona midfielder Andres Iniesta.
"Cristiano always wants to win every trophy," Arbeloa added.
"His ambition has turned him into one of the world's greatest, but the most important thing for him is Real Madrid.
"Do not think that winning the Ballon d'Or is his primary concern.
"We are a family, we have to help him. Don't go thinking that money is the issue."
Ronaldo took to his official Twitter account to clarify his comments for the benefit of the Madrid fans.
He tweeted: "That I am feeling sad and have expressed this sadness has created a huge stir.
"I am accused of wanting more money, but one day it will be shown that this is not the case.
"At this point, I just want to guarantee to the Real Madrid fans that my motivation, dedication, commitment and desire to win all competitions will not be affected.
"I have too much respect for myself and for Real Madrid to ever give less to the club than all I am capable of.
"Abrazos (hugs) to all madridistas."