The 2-1 defeat at Sunderland in the first leg of the Capital One Cup semi-final on Tuesday was United's third in succession - the first time they have lost three on the trot in almost 13 years.
David Moyes' side also crashed out of the FA Cup at the hands of Swansea on Sunday and are currently 11 points off the pace in the Premier League title race - with a battle on their hands to secure a top-four finish and a UEFA Champions League spot next season.
Welbeck said: "I cannot pinpoint one thing why this is happening. We were champions last season and we know that the consistency in our game has not been good enough.
"It is a new experience for us all, but the main thing we have to do is look at the next game. Obviously we have to put it right but you can't look too far ahead."
United now host Swansea again in the Premier League on Saturday and Welbeck knows only he and his team-mates can rectify things.
The England international added: "The next match is the most important. It is Swansea at Old Trafford now and we really have to get three points.
"It is up to us all on the pitch and the staff to do it. It is not the press or anyone else who are going to change this, it is ourselves.
"It is over 10 years since United lost three games in a row, so we know we have to turn it around and win the next match.
"Being a Manchester lad and being a United fan, there is extra passion inside me and it does hurt me when I see the team losing. It hurts a lot to see United not winning.
"I can understand why fans are concerned. We are not around the Champions League spots at the moment. We need to get our form back and just win the next matches.
"The manager is very upbeat. He lets the players know he wants to do really well and the players also want to win games for United.
"Losing three on the bounce though is really not good enough and we want to put that right."
Watch Manchester United take on Swansea live on Sky Sports 1HD on Saturday evening at 5.30pm.