Insigne scored his side's goal when they were 2-0 down, but a third from Pierre-Emerick Aubameyang has left Napoli with it all to do in the group.
"We were unlucky to lose here tonight," UEFA.com quotes Insigne as saying. "We played well, especially in the second half. Before their second goal we were close to getting an equaliser and I think it would have been deserved.
"Obviously I am pleased with my goal, but it was bittersweet. Still, I am confident because we put in a good performance and we are still in with a shout. We will be giving our all with our home fans behind us in our final game and even against a top team like Arsenal, anything is possible."
Napoli, on nine points, are behind Dortmund in third due to the head-to-head record between the teams.