Les Phoceens sit bottom without a point in Group F with just one game remaining, having lost 2-0 to Arsenal at the Emirates Stadium on Tuesday night.
"When you lose five matches you could say we aren't up to the level but we have to use this," Romao told the press.
"This game is over and now we have to concentrate on the league. We have a big game at home on Friday against Montpellier so we have to be focused to play a good match against them.
"[After conceding so early] there were still 90 minutes to play so we could have come back but the way the game went was tough. We must try and win [our last game against Borussia Dortmund] even if it is going to be difficult. We have to give everything to try and get three points."
Fourth-placed Marseille, who face Montpellier HSC at the weekend, sit 10 points behind leaders Paris Saint-Germain in Ligue 1.