The Gunners made it four defeats in a row in all competitions for the first time since 2002 when they lost 2-1 to Brighton and Hove Albion on Sunday.
With the gap to the Premier League's top four now at 13 points with nine matches left, winning the Europa League represents Arsenal's best hope of a return to the Champions League next season.
And Kolasinac says they should try to go without defeat for the rest of 2017-18, starting with Thursday's trip to AC Milan in the first leg of their Europa League last-16 tie.
"In some situations, we did not play bad. But honestly, we have to say that Manchester City have a phenomenal team, especially in their attack. Sometimes you have to admit that they are better or are in a better situation.
"They are first in the league with a huge gap to second. Naturally, they are playing different. But the atmosphere in our team has to be good and it is good as well, because we cannot bury our heads in the sand right now.
"On Thursday, we fly to Milan. We cannot bury our heads in the sand. We have to look forward and try to do better next time.
"My individual goal is to not lose another game this season, if it is possible. I think we have to play 10 or 11 more games. In these matches, we have to fight for every point.
"We definitely want to reach the final in this competition, because you can qualify for the Champions League if you win the Europa League. This should be our goal."