Marouane Chamakh admits Arsenal began to doubt themselves after their Carling Cup final defeat to Birmingham in February.
The Morocco striker, signed on a free transfer from Bordeaux last summer, was a substitute in the 2-1 Wembley defeat which derailed Arsenal's season.
The Gunners were chasing an improbable quadruple of trophies before Obafemi Martins' 89th-minute winner, but will end up empty-handed as exits from the FA Cup and UEFA Champions League swiftly followed.
Arsenal have also missed out on the Premier League title after a string of draws and striker Chamakh concedes falling at the first hurdle took its toll.
"Right up until the end of February, we were competing on every front," Chamakh told the Daily Mirror. "Then we lost the League Cup final and we started asking ourselves questions.
"Everything happened very quickly, the Champions League came: we played well in the first leg against Barcelona, and then we blew the return.
"In hindsight, the League Cup left its mark on us. It's my first season with the club, but it's been a long time that my team-mates want to win something.
"All that's left for us is to finish the season as best as possible."
Chamakh has scored seven goals in 18 starts and nine substitute appearances in the Premier League, having started the season as first choice striker.
However, the 27-year-old old accepts his place in the pecking order when Robin van Persie is fit to play.
"With the injuries to Van Persie and (Nicklas) Bendtner, I found myself at the forefront of things from the outset," said Chamakh.
"When they came back, people said I had lost my place. Well, actually it's more that Van Persie logically got his place back.
"He's an excellent player, a phenomenon. I still have a way to go yet and I'm here to learn. That said, if I can bring that little bit extra to the team, all the better."