In an interview with French TV, Koscielny also admitted the club's Premier League title chances may be over after consecutive defeats to Watford and the Blues.
Asked to explain their loss at Stamford Bridge, he told SFR: "I think we played certain players after others and I think we should have played more as a team and with much more movement.
"There was space, because they allowed us lots of space, after which they wanted to hit us on the counter."We must stay together, pick ourselves up and then the confidence and victories will come back."
The defeat to Antonio Conte's men left Arsenal 12 points behind the leaders and Koscielny admits it will be tough to catch them up."It's going to be hard now. Mathematically it's not done but we know it's going to be difficult," he said.
"We need to come back to the quality of our game; our passing and movement."