I think this shows honesty as much as arrogance, nobody would deny that he has dominated tennis over the last three or so years, it just doesn't sound right coming from him. I've watched two matches where I thought he was going to lose but ended up winning. In both cases he said he was lucky.
I just found this quote after the US Open:
After winning Wimbledon, I sort of said: 'OK, whoever wins the US Open is really better'.You see? Not arrogance, honesty!