Coquelin, 21, is remaining positive despite seeing his side now go four games without a win in all competitions.
The Gunners failed to capitalise on a slip up by Schalke, as Arsene Wenger's men slumped to back-to-back defeats away in Greece, leaving them to finish second in their group.
Saturday sees the Emirates host high-flying West Brom and a win is vital if Arsenal are to keep pace with league leaders Manchester United, as well as relieving pressure on under-fire boss Wenger.
"We started really well, we had a great first half and when you are winning 1-0 away you want to hold on to the result, we dropped a little bit and they scored two goals, so we are really disappointed," Coquelin told Arsenal Player.
"It is a tough place, but let's not forget we are Arsenal Football Club and when you come here, everyone wants to win [against you]. We could have come back with a win so we are very frustrated.
"But now we have to concentrate on the next game, we have a really important match against West Brom and we want to get the three points. We had a few bad results recently, so we need the three points at the weekend."
Don't miss any live and exclusive football coverage this festive season. Click here to visit Sky Sports' Festive Calendar