The Gunners winger pulled up after attempting a sprint towards the end of the match and manager Arsene Wenger initially thought he had pulled a hamstring.
However, it turned out to be a problem with his knee and Wenger does not yet know if Walcott will be facing a significant period on the sidelines.
The Gunners will certainly be hoping he makes a fast recovery, with a Champions League game at home to Olympiacos on Wednesday.
Arsenal then face north London rivals Tottenham in the Premier League next Sunday before an international break, when Fabio Capello will want to have Walcott available for England's vital Euro 2012 qualifier in Montenegro.
"We don't really know the extent of it," Wenger said of Walcott's injury after the match at Emirates Stadium.
"It looked like a classic hamstring injury when Theo went down but he said he had a sharp pain in his knee.
"He'll need a scan so we can assess what kind of damage it is."