Prior to the visit of the Saints, Arsenal let successive two-goal leads slip for the first time in the Premier League era to disappointingly draw 2-2 with Liverpool and West Ham United.
Mikel Arteta's men were widely expected to get back on track on Friday evening, where a victory would have also guaranteed them a place in the Champions League for the 2023-24 campaign.
However, Arsenal were left shell-shocked in the opening 15 minutes as Carlos Alcaraz and Theo Walcott propelled the Saints into a 2-0 lead, before Gabriel Martinelli pulled one back not long after the latter's strike.
Southampton switched to a more defensive setup for the second half and managed to restore their two-goal advantage through Duje Caleta-Car, but Martin Odegaard and Bukayo Saka completed another enthralling Arsenal comeback late on before Leandro Trossard struck the bar in added time.
While Arteta's side produced a spectacular late turnaround to avoid defeat in front of their own fans, a point was yet another damaging blow to their hopes of keeping a free-flowing Man City at bay as they sit five points clear of the champions, who have played two games fewer.
Arsenal's title destiny is still in their own hands, but they will cede control to Man City with anything less than a win at the Etihad on Wednesday, and Jesus has implored his teammates to treat their top-of-the-table showdown like a final.
"We said 'we need to keep going, to keep believing'. The Premier League is so difficult to win this competition," the Daily Mail quotes Jesus as saying in the dressing room.
"We are not here to always give excuses but it's a tough league - there are some good games and tough games. The last games we played, we faced tough opponents.
"Even if you don't drop the points like we dropped in the last games, nothing changes - it's a final [on Wednesday]. Each game is a final, we have to face them like a final. This is the most important game of the season for us.
'We have to understand that every point can decide the league. But, like we all say, now it's time to stick together and then we go again. In the last two games, we started so well and then after we couldn't hold the ball and keep playing [our way].
"Southampton was the opposite - we didn't start well like in other games but at the end we tried our best but dropped two points. We are here playing for a massive club, and for all the supporters at the club.
"We have to manage ourselves to come back and be focused again and strong, because anything can happen from now until the end of the season."
Jesus formed a part of four Premier League-winning teams during his time at Man City, who are still gunning for the treble after beating Sheffield United 3-0 in Saturday's FA Cup semi-final.
A 3-1 defeat at the Emirates back in February extended Arsenal's Premier League losing streak against Man City to 11 games, and the Gunners have not come away from the Etihad with all three points since January 2015.