The Partenopei lost 2-0 at the Emirates and were beaten at the San Paolo 1-0 by Alexandre Lacazette's free kick.
“The first 10-15 minutes, we had a few chances to score and that would've changed everything," Mertens told Sky Sport Italia.
“We conceded a goal and our heads dropped. We said in the locker room that we still believed, because Arsenal aren't that good. There isn't a real gap between us. We got it very wrong at the Emirates and that ruined everything.
“We weren't well set out, Arsenal took advantage and we tried everything to make up for it, but they defended well."