The attacker has been besieged by injury issues since he joined the club at the start of last season.
Jesus, who has been solid when playing, could be set for a spell out of action.
After a 2-1 win over Sevilla, in which he scored, Jesus told TNT Sports: "I felt something.
"Let's see. I did some tests with the physio, it looks not that big, but let's see. I have a scan, maybe tomorrow. I'm pretty sure it will be nothing."
Arsenal could also have to do without Thomas Partey for a few weeks, as he missed the Sevilla game with a new injury.