The Belgian powerhouses were beaten 3-0 by Dortmund on Wednesday, leaving them bottom of their UEFA Champions League group.
Hasi is already looking ahead to his team's next game against Galatasaray, who they drew with on the opening matchday.
He believes the clash against the Turkish outfit will be a key one, with a win likely to see Anderlecht finish third and enter the UEFA Europa League.
"We know that Borussia Dortmund and Arsenal are at a much better level than us," Hasi said.
"We will have a very difficult game against Arsenal. They are a quality team, very quick, one of the top European teams.
"I believe the game with Galatasaray will be crucial for us."
Anderlecht fell behind after just three minutes against Dortmund when Ciro Immobile struck, before Adrian Ramos' second-half brace sealed the visitors' win.
Hasi said the second goal in the 69th minute was a huge blow to his team, who he felt had played well after the half-time break.
"We still believed in it but the way Borussia Dortmund played was impressive," he said.
"At the beginning of the second half we did really well, we pressed and took the control, but then they scored the second goal and it was difficult for us.
"With the third goal it was all over for us. The good thing is that we created some chances but we let Dortmund create too many of their own."
