Arsene Wenger's side were outplayed in the last-16, first leg match at Emirates Stadum, to leave them as outsiders to progress in the competition.
But with important matches coming up in the Premier League, Walcott is keen for Arsenal to pull together and move on from their European nightmare.
"We need to try and not dwell on this result. We need to think about getting back to the Premier League. We've got some important matches coming up thick and fast," he told the club's official website.
"That Tottenham game (on 3 March) could be a massive game for us. And we need to win against Aston Villa first (on Saturday).
"Our Premier League form has been very good so we can't dwell on this result for too long.
"We need to get back to where we should be and start getting a winning run at home."
The England international has not given up hope that Arsenal can still progress in the Champions League though, with the return leg against Bayern in Germany coming up on 13 March.
"When we go there (to Munich), we have to be very positive and just go right at them," he added.
"Last season we beat AC Milan when we lost 4-0 in the first leg. We did very well at home here.
"We've got to show what we can do when we go away and play without any fear and have nothing to lose. It's a big ask but we need to be positive."