Walcott still has no idea what went wrong last season as Arsenal went from challenging for four trophies to suffering a total collapse in the final two months.
He told The Sun: "It all started to go wrong when we lost the Carling Cup final and I don't know what happened after that. Everything was still the same in training, in the way we played and the way we prepared.
"But we couldn't get our form back and maybe that was when something should have changed.
"The Carling Cup hurt everyone. Winning that first trophy meant so much to everyone and it was such a disappointment when it didn't happen.
"The Emirates hasn't been a fortress for us like it used to be and, without being disrespectful, we lost to lesser teams who we should be beating.
"Everyone at the club needs a break physically as well as mentally because things are going to change at Arsenal. We all still believe in what we're doing but we have to start winning trophies."