The Gunners slipped to a 2-1 loss on Wednesday evening which has left them six points behind Premier League leaders Leicester City with 10 games to go.
Mertesacker admits his team-mates were nervous in the final stages of their latest defeat, while Arsene Wenger’s side now prepare to travel to fellow title challengers Tottenham on Saturday.
"We tried really hard," Mertesacker told Sky Sports.
"The effort was there tonight. We played quite well but always missed the last pass and hit the post a couple of times, but it's not the end of the world.
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"We wanted a better result than against Manchester United, but it was the small margins that cost us.
"We lost the game on one set piece and we needed to defend better. You could feel that we were nervous out there at the end of the game.
"We have to recover quickly before Saturday and that's the only thing we are thinking of."