It seems like if you pull the internet plug while playing so HS crashes with that "You have been blablalalbal" msg, you don't get a lost in the Arena.
How do this work?
When you lose connection to HS other player gets the "You opponent has left" but this is delayed but about 30sec it seems, so if you manage to connect back to the internet and load up HS within that window you don't seem get a lose.
Managed to pull this off twice now, first was random DC from the internet, second time I pulled the plug to get it confirmed. This might not work with lag software, but you can try.
Didn't test it in ranked so far, might be possible to leave if you know you'll lose without loosing rating.