Anthony believes that it was the manner in which the Knicks lost 120-89 at Madison Square Garden that hurt the most.
"It was embarrassing for us to come here on our home court and lose a game like this," the 29-year-old told journalists.
"It wasn't about losing the game, it was just how we lost the game. We didn't compete today and it showed out there on the court. I'm not worried but we do have to figure it out.
"Whatever it is we have to figure out quickly, but as far as being worried, I'm not worried about that. But we need to figure it out."
The Knicks have lost four of their first six games this season.