The Gunners kickstarted their Europa League campaign with a 3-0 victory thanks to goals from Joe Willock, Bukayo Saka and Pierre-Emerick Aubameyang.
Martinez said after the game: "We said before the game that we had to stick together. We worked to make sure we kept the clean sheet.
"The back four were talking all the time and saying, 'Clean sheet, clean sheet', even when we scored the first goal. We need to build on that, keep more clean sheets and we know that we can create loads of chances with Pepe, Auba, Bukayo and Martinelli.
"They're really good going forward so we have to stick together to keep more clean sheets."