So after getting feared out the arena for the 3rd time during 30 games I found a way to get back. Screens (taken at Ring of blood - the terrain around is the same):
1. Run to the point where arena is connected with the mountain
2. Walljump
3. Walljump
4. Mount up and hop at the arena wall
5. and go get them
I seen a screenshot with someone on that wall posted here already but it didnt show how to get there.
PS. It kinda didnt fit for the exploration section so I posted it here.