Arsenal have lost their last four games in all competitions, including the EFL Cup final against Manchester City, and the pressure is mounting on the north London side.
"As a player, we have responsibility on the pitch and need to be together. It is difficult to say it's his fault or our fault," Koscielny said. ""The boss is here to give his best for the club. He's been here for 20 years so he's always loved this club.
"We need to stay united; it's a bad period but we need everyone who likes this club - players, fans and staff - to be together and to fight to be as high as we can."
Wenger used a bizarre metaphor in his post-match press conference - asking the fans and the club to come together, rather than make things worse for each other.
"It's difficult when you have just the trousers on," he said, cryptically. "It's easy to take the trousers off as well, but when you are naked completely you have to try and find a shirt and get dressed properly again.
"You can't put them more down."