I hear you. There are a couple of things you can do to alleviate it though. First: make sure that you load yourself with arrows right to the limit of your carrying capacity. You'll be using the arrows as you collect stuff, so no worries about being able to grab loot. Second: use free attack. Auto attack wastes a lot of arrows. Third: get your "Train Strength" skill to 40. This will help you carry more arrows and allow you to unlock "Heavy Lifter", which will help you carry more arrows.