The North London outfit, who fell five points adrift of fourth-place Chelsea after losing to Manchester United last weekend, realise that it could have been worse had the Blues beaten Paul Lambert's Norwich at Carrow Road.
Meanwhile, after an encouraging first Premier League start, Oxlade-Chamberlain insists that the club still believe.
"We know we have to win every game and approach every match in the same way," he said. "It is crucial.
"We always look to win, we know the task that lies ahead of us but we have belief within the dressing room. The boss believes, the boys believe and we know we have the quality that it takes.
"We are just going to keep working hard and try to correct our mistakes."
Meanwhile, the teenager has backed manager Arsene Wenger after the Frenchman was criticised for substituting him at the weekend.