The Gunners were beaten by Borussia Dortmund on Tuesday in their first defeat since the opening day of the season.
They remain top of the Premier League but the German defender knows that the defence must be solid on Saturday.
"We know we are on a good run," Mertesacker told reporters. "But we know it needs more than just playing with full freedom.
"We need to defend first, then we can switch the rest on. You have seen what can happen after that.
"We have players who can play so quickly together. Tomas Rosicky came in and fitted into everything as well as Mesut [Ozil] or Jack [Wilshere]. When those three combined together you could feel some magic in the air, a real chemistry."
Arsenal take on Crystal Palace on Saturday at 3pm.