Arsenal performed well in the opening 30 minutes at the Emirates Stadium, before Chelsea scored two late goals to turn the game on its head.
That leaves the north Londoners languishing in 12th place in the Premier League standings, having won just five of 20 matches so far this term.
But despite the team’s latest setback, Willock insists he and his team-mates are behind Arteta as Arsenal set about climbing up the table.
“He’s installed energy, he’s installed being there for each other and different tactics,” the midfielder said.
“I thought we did it in the first half and the first 15 minutes of the second half but we pushed back and they got on top of us so it’s really disappointing.
“We all believe in him; we all listen and we all try to put the tactics he does in training on to the pitch.
“It’s evident we tried to do it in the first half, but it’s a long journey, we’ve only had a week with him and we’re all looking forward to working with him.
“We tried to give a lot of energy [against Chelsea] and tried to help each other out but unfortunately we lost.
“We just need to keep positive, we all believe in each other and we know that we’re halfway through the season and we need to push on.
“We’re looking forward to the next game and hopefully, we can show the energy for a full 90 minutes.”
Arsenal return to action on New Year’s Day, when Manchester United travel to the Emirates.