The Gunners were well beaten at the hands of the German champions in the first leg of their Champions League knockout tie, putting them on course for yet another last-16 exit from the competition.
The main damage was done in a 10-minute spell during the second half, when Bayern scored three goals in quick succession, and Koscielny admitted that it was not good enough from his side.
"I don't know [what went wrong] either. I think the first half was good - we were deep, like you need to be, and tried not to give them space or opportunities to score," he told Arsenal TV.
"It being 1-1 at half time was good for us but after we conceded the second goal, I think we needed to stay more compact because we have a second leg at home, when you can win.
"You need to stay together, defend together with all 11 players and keep this. Tonight we didn't. Bayern played very well - they have some top-class players who can make the difference up front."
Arsenal have been eliminated in the first knockout round of the Champions League in each of the past six seasons.