This is very normal at one month. Your baby still misses the closeness and motion he had in the womb, so your arms feel far safer to him than a flat mattress.
Next Steps
Try swaddling him snugly and laying him down slowly, keeping a hand on his chest for a minute before you let go. White noise or gentle rocking before the transfer can help too.
Health Tips
Always lay him on his back on a firm, bare surface for sleep, and consult your paediatrician if the crying feels excessive or he seems unwell otherwise.