A first-half Jason Puncheon goal was enough to seal three points for Crystal Palace at Selhurst Park on Tuesday night and draw them level on points with Hull.
Another goalless game for Hull means Steve Bruce's men have gone four top-flight games without scoring, despite the addition of £14million duo Shane Long and Nikica Jelavic.
Despite losing at Palace, Hull enjoyed the majority of possession and created 13 chances but Davies was left lamenting the missed opportunities.
Speaking to Sky Sports at full-time, he said: "We did create chances, but our problem is to get it in the back of the net.
"If you don't start scoring goals, there are only so many clean sheets you can keep to get points.
"It's tough to take, the way they scored their goal, Puncheon comes in with the header which was going well wide and it falls to his thunderbolt left foot and he smashes it in the back of the net."
When Hull last faced Palace in November, the Eagles were rooted at the foot of the table, however, victory on Tuesday lifted them up to 14th and just one place below the Tigers.
"It needs to be a concern," Davies admitted. "I don't think we can say; 'We'll win the next one, we'll win the next one' because at the moment we're not good enough for that.
"We need to get back to the training ground and work hard on what we want to do to beat Tottenham at the weekend."
Hull manager Steve Bruce was adamant his side should have had two "stonewall" penalties during the match and Davies agrees with his boss.
The first incident saw Long go down underneath Danny Gabbidon in the Palace area before Jelavic was taken from behind on the fringes of the area.
"Obviously I was long away but the Shane Long one, it looks like he's just skipped ahead of him, I don't know how much contact there was," he claimed.
"I don't know why he would go down if he's on the ball and through on goal.
"The other one is the Jelavic one and I don't know whether that was in the box anyway, I think that was a free-kick if it was outside the box or a penalty if it was in the box."