Walcott, 23, insists the Gunners' 3-1 home loss to Bayern Munich condemned them - despite Wednesday's 2-0 win in Germany.
He said: "Our mistakes in the first leg cost us. You can't do that at the top level, but you have to give the guys credit for our away performance.
"Bayern are a top-class team but we went out with pride, worked hard and for each other. We need that more often."