The error was because the curly braces did not include the second Text:
Graphics[{Red, Arrow[{{0, 0}, 1.1*{1, 1}}],
Text[Style["My Red Label", Bold, 14], {1.1, 1.1}, {0, -1}], Blue,
Arrow[{{0, 0}, .7*{5, 1}}],
Text[Style["My Blue Label", Bold, 14], .7*{5, 1}, {1, -1}]},
Axes -> True, AxesLabel -> {"Foxes", "Rabbits"},
LabelStyle -> {GrayLevel[0], Bold}]
I have added offsets to the texts.
