Dortmund slipped to a 1-0 home loss to Augsburg at Signal Iduna Park, the visitors claiming all three points thanks to a 50th-minute strike from Raul Bobadilla.
Augsburg hung on despite being reduced to 10 men when Christoph Janker was shown a straight red card in the 64th minute, leaving Roman Weidenfeller and Mats Hummels to talk with angry Dortmund fans after the final whistle.
Jurgen Klopp's men could still climb out of the bottom three with victory at Freiburg on Saturday, and attacking midfielder Sahin wants the club to pull together as Dortmund seek to avoid a surprising drop to the second tier.
He told Ruhr Nachrichten: "We are the only ones, the team, the club, we can and must come out there together.
"Now there are scenarios in which we could devour each other, but we must move together even more closely.
"It is a fact that only we can change the situation. We must do everything to ensure that we don't go down."
