Wenger faced an open revolt from Arsenal fans last weekend after his substitution of Alex Oxlade-Chamberlain in the defeat to Manchester United while captain Robin van Persie also expressed his dismay at the decision.
Yet Walcott believes Arsenal's players must take their share of the blame for a run of results which has put the brakes on the Gunners' hopes of qualifying for next season's Champions League.
"The manager will take all the stick," he told the Daily Telegraph. "He looks after us. He believes in us.
"As players we need to look at ourselves. We need to take responsibility. The last few games haven't been good enough.
"The worst thing is we have a lot of regrets. There are games we could have won. When you go to Swansea and score two goals you should win."
Walcott meanwhile praised the captaincy of van Persie during what has been a difficult season for the club following the departures of Cesc Fabregas and Samir Nasri last summer.
"We always like to reflect on the game in the dressing room, even at half-time, sharing our feelings on the game," he said. "Robin is a great captain who wants to win. He believes in the team and knows the team can do better."
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