The Gunners fell at home 3-1.
Mertesacker said: "When you're 2-1 down, you think you can maybe score another one, that is what we thought. We were really up for the second one.
"But sometimes it can be difficult and they can play football as well. Monaco are a defensive side and tried to hit us on the break, that's what we expected. We couldn't avoid it. When you lose the ball like that, anything can happen.
"We were naive at times, but the plan is always to get the best possible result. I agree it was a hugely disappointing night, you could feel that after the game in the stands and in the dressing room. But there is still a small chance.
"This is the champions league, you can't predict it. The last 16 is a difficult game anyway.
"We are not happy with our performance as a team, but we tried to fight back. We still have hope to come back even stronger from that disappointment."