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.
Arbeloa revealed Tuesday that the squad knew nothing about the 27-year-old's malaise before 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," Arbeloa said. "He doesn't share the problems of most Spanish people but it's perfectly reasonable that he can be sad."
Arbeloa's comments echo that of Real Madrid teammate Kaka, who on Monday also publicly supported his teammate.
"To Cristiano I just would like to tell him that he has the support of the entire team," he was quoted as saying by Spanish news agency EFE. "We need him and he has to be happy. He has the support of the entire team."
Ronaldo's agent, Jorge Mendes, said in a statement posted on his agency's website Monday that he knows the reason for Ronaldo's discontent but that he will leave it to his star client to disclose that information.
The 27-year-old winger was met Monday by a media barrage at the national squad's training camp in Obidos, but didn't address reporters.
Meanwhile, Paris Saint-Germain sporting director Leonardo dismissed speculation that Ronaldo could be on his way to the big-spending Ligue 1 club.
"Ronaldo is a Real Madrid player. We don't talk about others teams' players -- that's respect," he told radio station RMC.
"(Zlatan) Ibrahimovic is the best striker in the world. So why hire Ronaldo? Zlatan is unique," he continued. "When we talk about the best players, there is Ronaldo and (Lionel) Messi -- but they are not strikers. The best striker, that's Zlatan."
Arbeloa said that because Ronaldo is one of the top players in the world, when he says he is sad it might make a bigger impression.
"We're all going to help him because he is our friend," he said.
Arbeloa said that he hopes the fans don't take "his words the the wrong way."
"The media have great power and people are influenced by what they hear and read," he said. "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."
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," he said. "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."
Information from Press Association was used in this report.