Arsenal missed out on the chance to secure seeding for the knockout stages of the Champions League when they went down 2-1 at Olympiacos, where Czech winger Rosicky had fired the much-changed visitors ahead just before half-time.
The defeat extended Arsenal's winless run to four games, but Rosicky is confident things be put right - starting with the visit of West Brom on Saturday. He said: "We have to all stick together, which is what we did last season when everyone was writing us off and we came back stronger."
Saturday's 2-0 home defeat by Swansea saw Arsene Wenger's men plummet down the Barclays Premier League table to 10th place, which gives further light to the tension already present on the terraces at the Emirates Stadium.
But Rosicky, who has just returned to action after being sidelined since aggravating his Achilles problem ahead of the European Championships, added: "I can understand the frustrations, I am an Arsenal fan as well when I was not playing. But also on the other side we have some young guys as well and this is definitely not helping them.
"Of course we have to win the people again, that is the challenge. It will be difficult, there is no doubt about that, we are capable of doing it again. If we are all on board, Arsenal is a great place to play football, but we have to stick together and fight."
Had Arsenal held on for victory in Athens, they would have ended up top of Group B as leaders Schalke were held to a draw at bottom club Montpellier. As a result, the Gunners will not have the safeguard of avoiding one of Europe's leading sides.
Wenger, though, maintains he is not overly concerned, stressing things could look very different for Arsenal when they return to European action in mid-February. He said: "We have to wait for the draw, but we wanted to finish first. Some teams can get stronger until then, including ourselves."
Wenger is likely to recall his first-team regulars against the Baggies, with Theo Walcott, Jack Wilshere, Lukas Podolski and Olivier Giroud among those left in London this week.
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