The Brazil international's comments came after Chelsea's surprise 2-1 defeat to Basel on Wednesday, the club's first home defeat in a Champions League group game in a decade.
Oscar had opened the scoring for Jose Mourinho's side in the closing moments of the first half before goals from Mohamed Salah and Marco Streller turned the match on its head.
The 22-year-old insists the 2011-12 Champions League winners must improve when they travel to take on the Romanian champions next month.
"It is bad to lose, but I think we played well," he said. "In the first half we were good, and we started the second half very well too.
"Their goal destabilised the team and then they scored another one.
"Now we have to recover in the next round, we have to win."
Wednesday's game also saw new signing Willian make his debut, but he admitted he was disappointed to see it end in defeat.
Willian lasted 67 minutes and was replaced by Juan Mata with Chelsea a goal ahead, however he had to watch on from the sidelines as Basel struck twice in the closing 19 minutes.
"It's good to debut, it would be even better if it was winning," he said. "Now we have to raise our heads and try to win (the next game).
"Debuts always have a bit of anxiety, but I think I could show some of my football.
"I know that I have to try get better every day, I can’t stop, I always have to try and keep a good pace, and that's what I'll do
"I have to show every game, every training session, and then he (Jose Mourinho) will be able to believe in me."
