The Gunners conceded two minutes from time to draw 1-1 in Germany to earn a point in their first group stage game of this year's competition.
Robin van Persie had given Arsene Wenger's side the lead just before half-time and they were minutes away from winning the game.
After keeping a clean sheet against Swansea on Saturday, Arsenal have now conceded one goal in the two games since their 8-2 hammering from Manchester United.
Koscielny partnered Per Mertesacker in the heart of defence and had to cope with a barrage of 17 shots on goal from the home side.
Koscielny told the club's official website: "It was a hard game, Dortmund played very well. We defended well, but to concede a goal two minutes before the end was difficult for us.
"We didn't lose, which was good. We have a game at home, and it is important to win that.
"I think we defended very well - all the team defends together."
Midfielder Alex Song returned to the squad after missing the last three games through suspension and Koscielny was pleased to see him back.
He said: "It's very important to have Alex [Song] near the centre-backs, because he stops the opportunities coming to the other team. It's good for us.
"We are in a good place now and we want to go and win at Blackburn."