Walcott feels the club's activity in the transfer market over the summer will be crucial to their hopes of winning silverware next term.
He said: "We've only got ourselves to blame and we need to make sure we qualify for the Champions League and try to win something next season.
"It will be massive to see the players who come in and who go out. At a big club like Arsenal we have to win things as it has been a long time since we have won anything.
"We know how disappointing it has been for the fans but as players we want to look back on the trophies we have won."