The newly-promoted Clarets are the only team in the top flight without a victory after eight matches of the campaign.
However, the 36-year-old is adamant that his side are creating the opportunities needed to pick up a win and feels that they need just a little bit of luck to get them on their way.
Duff told the club's official website: "I think it's fair to say we're not far away from our first win. Both statistics and our performances would back that up.
"We maybe just need that little bit of luck, something to drop for us. We've hit the post and the bar a few times at important stages of games. Other than the West Brom game where we never turned up and got what we deserved we've shown not to be far off a win.
"We've competed but the gaffer has made it clear that it's not just alright to do alright. We don't want to be unlucky, you know little old Burnley, we want to be picking up points."
Burnley sill go in search of that first win when they face Everton in the Premier League on Sunday afternoon.