One person died and at least five others - including Mari - were injured after a man launched a frenzied knife attack in a supermarket near Milan.
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Mari, who is on loan at Serie A club Monza, told media he feels 'lucky' to be alive.
His condition is not serious but will require the 29-year-old Spaniard to have an operation on Friday.
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Quoted in the Gazzetta dello Sport, Mari said: "Today I was lucky, because I saw a person die in front of me."
The Italian newspaper said that Mari had been walking with his wife and son - who was in a trolley - in the shop in Assago near Milan when he felt a pain in his back before seeing the attacker stab another person in the throat.
Police have arrested a 46-year-old Italian man and ruled out any terrorist motive for the incident, which occurred in the Carrefour supermarket in the Milanofiori di Assago mall.
The man in question is believed to have a history of mental illness.
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Monza president Adriano Galliani, who visited Mari along with the Serie A side's head coach Raffaele Palladino on Thursday, told Gazzetta: "Pablo is an amazing guy. He had the strength to joke and tell me that he will be back in training on Monday.
"I brought him greetings from (club president Silvio) Berlusconi and everyone else. His team-mates wanted to come here but obviously it was not possible."
Speaking further about the attack, Galliani added: "It is shocking news. My thoughts are with the families - what happened today seems impossible for a city like Milan.
"It can't be possible that someone gets up in the morning to go to work and then loses their life because of the actions of a criminal."
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The Corriere della Sera says former Napoli and Inter Milan player Massimo Tarantino was among those who immobilised and disarmed the attacker, with the 51-year-old quoted by the paper as saying: "I'm not a hero. I didn't do anything special."
Mari joined Arsenal from Brazilian side Flamengo in January 2020, becoming Mikel Arteta's first signing as the Premier League club's manager.
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He played 19 times for the Gunners before being loaned to Udinese this January.
In August, he returned to Italy to join Monza on a season-long loan.
In a statement issued shortly after the 2-0 defeat at PSV Eindhoven in the Europa League on Thursday night, Arsenal gave an update on Mari's condition.
"We are all shocked to hear the dreadful news about the stabbing in Italy, which has put a number of people in hospital including our on-loan centre-back Pablo Mari," it read.
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"We have been in contact with Pablo's agent who has told us he's in hospital and is not seriously hurt. Our thoughts are with Pablo and the other victims of this dreadful incident."
Arsenal manager Arteta, in his post-match press conference, said: "I just found out. I know (technical director) Edu has been in touch with his relatives. He's in hospital but he seems to be OK."