I removed the shower head. The leak is coming from the shower arm. Your diagnosis, PLEASE!

"leak is coming from the shower arm"

I take that to mean that the leak is at the joint of the shower arm and the fitting inside the wall.

Remove the shower arm. To avoid scratching the shower arm with a wrench, insert a long, large screwdriver or a small rod in the shower arm. Grasp the shower arm close to the wall and unscrew it by rotating the screwdriver in a circular motion. The screwdriver increases the length of the shower arm giving you the leverage to unscrew it.

Coat the threads of the shower arm with a generous coating of pipe thread joint compound and reinstall.

The shower arm must point down, so as the arm begins to tighten you must decide weather or not you can make another full turn. If you can not make a full turn and have the arm pointing down, you must remove the arm, re-coat it and start over.

Or you van use teflon tape, Thanks.

John