Alex failed to find a way past the in-form Marek Stech in the Glovers goal, as Joe Edwards' strike after just 51 seconds proved to be the difference between the two sides.
But Davis believes his side did all they could to get an equaliser and paid for an early lapse in concentration.
He said: "Everyone one of the players was excellent, I cannot fault them.
"We caused Yeovil all sorts of problems throughout the game even in the second half, but the only time we did not cause them problems was in the first minute of the game and it cost us.
"Our performance warranted more than we got. We've played games before where our finishing has not been good enough in the final third and that was the case here, plus we met a goalkeeper on form who made two or three fantastic saves.
"Unfortunately, we have just had one of those days."