Arsenal were knocked out by Sporting last night at the last-16 stage after losing 5-3 on penalties, with the game level at 1-1 and tied 3-3 on aggregate after extra-time.
The Premier League is now Arsenal’s only focus and they will go eight points clear of Manchester City if they beat Crystal Palace on Sunday.
Odegaard is confident there will be no hangover from their exit to Sporting as the squad have learned after being dumped out of the FA Cup by City in January.
That defeat led to three League games without a win and City momentarily leapfrogging Arsenal to go top.
“I think every time we have lost this season we have learned something from it,” said Odegaard. “Every time we have come back and changed the situation again.
“That is what we are going to do again and the next game comes quick, so it’s a good opportunity to strike back. We talked about it already in the dressing room, we have to move forward now.
“We are always together, even if we lose. It’s been a good season, a lot of wins, but we have to be together in the tough moments as well. We have to show it (our mentality) now. It’s 11 finals for us.”
Granit Xhaka opened the scoring for Arsenal, but Sporting equalised as Pedro Goncalves scored from near the halfway line.
Gabriel Martinelli was the only man to miss in the shootout and Odegaard says the squad will rally round him.
“We just have to pick him up and make sure he is okay,” he said. “We said it before the penalties: ‘No matter what happens we stay together’.
“I think it was a big blow for us [to lose to Sporting]. We wanted to do something special in this competition and it’s disappointing.
“There are obviously less games, but we wanted to do something special in this competition so it’s disappointing.
“But also it is straightforward now, we only have the League to focus on. We have to make the most of that and make sure we finish well.”