Morata is his club's top scorer with 12 goals in all competitions this season but missed a host of chances as his side were held to a 2-2 draw at the Emirates on Wednesday (3 January).
On three occasions, the Spain international was put through one-on-one with Gunners goalkeeper Petr Cech but on each occasion he failed to find the back of the net.
The most glaring of those took place just moments after Arsenal had snatched an injury-time equaliser through Hector Bellerin, missing an opportunity to secure a win that would have lifted his side back into second place above Manchester United.
"He's not liking this period," Conte told Sky Sports in a post-match interview. "He has to continue to work, continue to improve. "For the striker it's very important to score. In this case I repeat it's a pity, because he had many chances to score. But at the same time I'm very happy for his commitment, his effort for the team."
Morata also failed to hit the target on Saturday as his side ran riot against Stoke City but Conte has no concerns over the striker's form.
This is not a lucky period for him," Conte added in his post-match press conference. "In the last game against Stoke, I said it was important for a striker to have the chances to score. Today he had chances to score but it's football and I'm happy for his commitment.
"He works hard for the team. That's the most important thing for me. If he scores, his confidence goes up. In this case, it can go down.
"He's very young, he must improve. He must stay calm. I understand it's not easy for a striker if he doesn't score but it's the first season where he is playing regularly. The goal will be coming."