The Ligue 1 side left themselves a mountain to climb to make it out of Group F, arguably the toughest in the competition, as they lost 2-1 on Wednesday night.
Napoli beat last season's runners-up Borussia Dortmund in the other game in the group.
Baup said on the OM website: "It is obvious that the points are expensive.
"Dortmund lost in Naples and we're going to Germany for the next game. The situation is not easy, but as long as we have the remaining five games he must believe.
"There were positives (against Arsenal) in terms of the quality of play, but we have to avoid mistakes. That's the highest level, that is the Champions League."