Arsene Wenger's side slumped to their second straight defeat on Tuesday, losing 2-1 at Olympiakos to finish second in their Champions League qualification group behind Schalke.
The Czech Republic international has stated that the indifferent patch of form that the squad are currently going through is having an effect on how they use the ball in the final third and that they have to improve.
"Sometimes we don't keep the ball as we used to," Rosicky told reporters.
"It is definitely a matter of confidence. You can see there are more back passes than we used to do.
"You have to gain confidence by winning the next game. I still think we have some very good players and we are better than what we are producing.
"We are good enough. We are not happy about things and we have to sort it out quickly. We have another game this Saturday and it is a good opportunity to start all over again."
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Arsenal are currently 10th in the table and host high-flying West Brom at the weekend, and Rosicky says he understands the fans' current complaints, but believes the Gunners can turn their season around.
He added: "I can understand the frustration as I am an Arsenal fan as well.
"We have to know that we have young guys [in the team] and they feel the frustration.
"We all have to stick together. That is what we did last season when everyone wrote us off and we came back stronger.
"We have a challenge but we did it last year so why not do it again? It will be difficult, there is no doubt about it but we are OK to do it again.
"If we are all on board, it is a great place to be and a great place to play football but we must stick together and fight."