The Frenchman has come under criticism from supporters and ex-players after slumping to three defeats in a row, with Manchester United and Swansea City being two of the clubs to take maximum points off the Gunners.
"The manager will take all the stick," Walcott told the Daily Telegraph. "He looks after us. He believes in us.
"As players we need to look at ourselves. We need to take responsibility. The last few games haven't been good enough.
"The worst thing is we have a lot of regrets. There are games we could have won. When you go to Swansea and score two goals you should win."
Wenger's side take on Aston Villa in the FA Cup fourth round this weekend.