After coming on as a second-half substitute in Chelsea's 3-1 loss at Emirates Stadium on Tuesday, Mudryk appeared to be constantly targeted with a laser every time he touched the ball.
"This behaviour is dangerous and totally unacceptable and we will fully support the police with their enquiries," Arsenal said in a statement.
"We will obviously take the strongest possible action."
Following the game, the Ukraine international posted on his social media account to confirm he was "okay" after the incident.
The English Football Association is set to look into the matter.
Mudryk was also jeered by the home crowd during his substitute appearance after he decided to join rivals Chelsea despite interest from Arsenal.