This line has always blown me away. But if you're not immediately familiar with the sequence leading to it, here it is.
The night before the fight with Apollo, Rocky goes out for a walk to think about things, a trip that includes a stop by the arena and a brief chat with the promoter. He returns to his apartment, sits down on the bed and says to a sleeping Adrian, "I can't do it." She groggily responds, "What?" Rocky says, "I can't beat him." Adrian asks, "Apollo?" Rocky explains, "Yeah. I been out there walkin' around, thinkin'. I mean, who am I kiddin'? I ain't even in the guy's league." And then after a brief pause, Adrian asks, "What are we gunna do?"
But it's more what she doesn't say that makes that line so memorable. She doesn't say, "You can beat him!" She doesn't say, "What are you talking about, you're great!" She doesn't say, "Oh you're just nervous, go to sleep." She offers neither encouragement nor a solution, she simply asks, "What are we gunna do?"
It says so much about the complexity of her character and the simplicity of their relationship that Adrian accepts Rocky's lamentation immediately. Maybe it's her lack of experience with adult relationships that causes her to avoid any false support. Or maybe it's her tacit belief that Rocky is right about everything that leads to her easy acceptance. But something about that line is just RIGHT.