After the Gunners suffered a 2-1 defeat at the hands of Watford at Vicarage Road on Saturday, Watford captain Troy Deeney said that the Arsenal players "lacked cojones" after losing their initial lead.
Mertesacker insists that the club know what lessons must be learns and says he does not listen to critics.
The Arsenal captain told 'Sky Sports': "I don't know what he said. I don't pay attention. Anyways it was after the game I think, so I didn't watch it.
"We should concentrate on ourselves first of all, there are so many guys involved and so many opinions, which is fine, but we need to focus on ourselves and learn lessons from that.
"If we start to listen to too many people it's not worth it, honestly, I need to look at myself and think what could have been done better.
"Afterwards, it's easy to judge and easy to say words and think we are lacking something. We have to think how we can provide better performances, especially away from home, where it gets tight and difficult.
"That is all going on here. I'm not a favourite of listening too much to other guys. I haven't done that in 15 years, I'm not going to do that in my last year."
The Germany international gave his side a first-half lead on his first start for Arsenal in 18 months, but Watford ran out 2-1 winners after a controversial penalty was converted by Deeney and an injury time winner courtesy of Tom Cleverley.
"We need to be mentally tougher in front of goal. We create the chances, but sometimes we need to switch on quicker," he added.
"I believe we have that mental toughness but we need to switch on and do our thing.
"We were not good enough against Watford because we missed a chance and the majority of players were still thinking about that chance. Those things, switching on, need to be quicker.
"We had everything in place. We scored from a set-piece away from home, we protected the goal well for the first 60 minutes, we had a couple of chances to go further ahead - but we didn't.
"Then you need to be really resilient in those tight moments, and make clever decisions, but that's what we lacked basically. We want to be more clever in defending our own goal."