The Stags, who were promoted from the Conference last season, lost just two of their opening 13 league games this campaign.
However, Tuesday's loss against Burton Albion was the club's fifth defeat in a row.
Cox told BBC Radio Nottingham: "We've had two-and-a-half years of pleasure, of smiling, laughing and plaudits. It's times like this that you see the essence of a football club.
"Because of the start we had, expectations levels rise. I still maintain that we can be successful this season, but people get frustrated, players get frustrated, I get frustrated.
"Things go against you in football, but I'm not letting it get me down. It's up to me to gee the boys up."
Mansfield occupy 17th place in the standings.