Elemental 2D materials exhibit intriguing heat transport and phononic properties. Here we have investigated the lattice thermal conductivity of newly proposed arsenene, the 2D honeycomb structure of arsenic, using {it ab initio} calculations. Solving the Boltzmann transport equation for phonons, we predict a highly anisotropic thermal conductivity, of $30.4$ and $7.8$ W/mK along the zigzag and armchair directions, respectively at room temperature. Our calculations reveal that phonons with mean free paths between $20$ nm and $1$ $mu$m provide the main contribution to the large thermal conductivity in the zig-zag direction, mean free paths of phonons contributing to heat transport in the armchair directions range between $20$ and $100$ nm. The obtained low and anisotropic thermal conductivity, and feasibility of synthesis, in addition to other reports on high electron mobility, make arsenene a promising material for a variety of applications, including thermal management and thermoelectric devices.