As the championship battle looks set to go down to the wire and with key clashes between the top four to come, there is little margin for error.
"We have been playing some brilliant football but just cannot get that penetration to finish it," said the England Under-21 winger, who turned 19 on Sunday.
"That will come - you have bad patches through the season, although it does not help at the end.
"But hopefully if we keep on doing the right things then we will get the results we want.
"The finishing is the main issue at the moment but we just have to take the positives out of games, and continue to train hard."
Walcott told Arsenal TV: "We have just got to concentrate on ourselves now, take each game as it comes and not worry about anyone else."