We must keep our best stars - Walcott.
Gael Clichy moved to Manchester City last week citing the need to win trophies as a main reason for his departure, while Cesc Fabregas and Samir Nasri may also leave the Emirates Stadium this summer.
Walcott believes such departures would be detrimental to the squad but has urged supporters to back manager Arsene Wenger.
"It's important to keep all of our best players and it's important for players to come in as well," he said.
"Knowing that we were nearly there, the last couple of months it went away from us, we need to know what we did wrong there.
"The boss will see what the players have got in pre-season matches and see what they have got to offer this season.
"The boss knows what he's doing, he's done it year after year. Us players need to go on and win something, because it's been a long time."
The Arsenal Supporters Trust published their membership survey and found that 76% of its membership were either slightly unsatisfied or unsatisfied with performances.
With the likes of Fabregas and Nasri mooted as potential departures, fans are becoming increasingly concerned over Arsenal's credentials next season.
Walcott, though, insists it is important not to get distracted by such transfer gossip.