It has been a frustrating spell for the Red Devils as they have largely dominated matches, but have failed to get over the line numerous times.
In Sunday's 1-1 draw with West Ham United at Old Trafford, United created 17 shots, eight of which were on target, while the Hammers had just two.
"Another game the same," Herrera told BBC Sport. "We controlled the game completely from the kickoff. They got a very lucky goal and then we controlled and created chances.
"Their keeper was the best [player] one more time. That happened against Stoke, Burnley and Arsenal. We don't know what we have to do to win a game. We have more possession than the opponents. I don't know, honestly.
"I have had a run like this but not playing good. The way we are playing we are controlling the whole game from the kickoff. I don't know what to say, it's frustrating for all of us. Football is about scoring goals and finishing and we are not doing that right. It is true."
United have recorded four league draws at Old Trafford for the first time in 36 years.