Aubameyang told Sky Sports: "I think it is a difficult moment, but I think we've played against great teams, and I think we just have to be united, keep going, working hard and that's the way to follow.
"He is a great manager, everyone knows it. OK, it is not an easy moment, but we have to give our best to show him that we play for him and give everything for him."
Aubameyang, who scored 141 goals in four-and-a-half seasons at Dortmund, insists joining Arsenal was a logical next step for him at 28, and revealed the Gunners were the only side who made a "real" offer for him.
"It was the next step for me, it's a big club. For me it's a bit bigger than Dortmund, and this was a good step for me and my career. I didn't want to go, for example, to China, because I want to do a lot of things here in Europe before I think about China or America."