The new /particle command will not effect certain entities such as the Arrow, item, or Minecart. From what I've gathered it seems that it only works with mobs that have health at the moment.
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This is a duplicate of MC-45558. Please use the search function to check before posting in the future. If you could not find the original report, please comment with the keywords you searched for.
(Not sure which ticket to keep as MC-45558 was created first, however it only mentions item entities. Can a moderator help with that?)
As you can see, the command doesn't recognize arrows as a valid target.