How would I write a diary entry as silky Bob describing what I felt at the moment when I was arrested in After Twenty Years?

Bob would have been surprised and hurt when he was arrested.

I suggest you focus your diary entry on how Bob felt at each part of the story.

Bob and Jimmy were good friends.  They were such good friends, in fact, that they made an arrangement to meet twenty years into the future and both of them kept it.  However, when they met they were on both sides of the law and neither one knew it.

“I’m waiting for a friend. Twenty years ago we agreed to meet here tonight. It sounds strange to you, doesn’t it? I’ll explain if you want to be sure that everything’s all right. About twenty years ago there was a restaurant where this shop stands. ‘Big Joe’ Brady’s restaurant.”

Bob has a high opinion of Jimmy. He considers him a good friend.  He still does not know if he will show up, since a lot can happen in twenty years. During the conversation with the man he thinks is Jimmy, Bob begins to get suspicious.  He notices that Jimmy’s nose is not right.

Jimmy arranges for Bob to be arrested.  He does not do it himself, because he can’t bring himself to arrest his friend.  He explains why in a note to Bob.

Bob: I was at the place on time. I saw the face of the man wanted by Chicago cops. I didn’t want to arrest you myself. So I went and got another cop and sent him to do the job.

Although the story ends here, you can make some inferences about how Bob would feel. He had been getting more and more suspicious of “Jimmy,” and the letter confirms his suspicions.  He probably feels surprised and betrayed, but he also knows that Jimmy is a stand-up guy who always does the right thing, and he would understand why he did what he did.