The Owls saw two points disappear at the weekend as Millwall scored a late equaliser having trailed since the 21st minute.
It was the third time in four games that Dave Jones' winless side had let a lead slip this campaign, following a defeat against QPR and a draw at Leeds.
Gardner wants to see Wednesday be more ruthless.
"When you get opportunities to kill the game off, you must take them," he told the club's official website.
"If we'd have scored another goal on Saturday, that would have been 3-1 and we would have seen the game out.
"We had chances to put the game to bed but didn't take them and that's something we will have to put right.
"You have to take control of the game, especially when you're at home, force the issue and make your pressure count."
"We'll be working on it in training to make sure we get that win at Middlesbrough (on Saturday)".