Blues conceded two goals in their win against Middlesbrough on Friday - their first win in five games - meaning Lee Clark's side have only kept four clean sheets this season.
Davies believes defensive displays must improve, starting with their trip to Wolves on Saturday.
The centre-half told the club's official website: "We need to stop conceding silly goals like we did against Middlesbrough.
"We don't want to have to try and score three goals to win every game, so we need to shore things up."
He added: "Of course, we hope the win can kick-start our season. Hopefully, we can get a bit of a run together but the next game against Wolves comes round quickly so we have to be ready for them."