United scored in the first minute when John Mullins headed in a corner but Liam Cooper replied in first-half stoppage time before Chris Atkinson won it at the death.
Cook said: "For some reason, our lads are a little bit nervous at home. That's not something we are making up, it's a fact. We are tentative at the start and sometimes are a little bit scared to do the right things.
"But we must embrace playing at home. Our supporters want to get behind us and they want to support us really well but we must give them a lift.
"The way we started did not give them a lift, the way we finished it did and we must get that balance right.
"This was a very difficult game against a very strong side who in my opinion could be the surprise team in this league, but after a such a bad start I don't think anyone can question my players desire or application to win the game because you don't score at the stages of the game we did without that."