Edinson Cavani missed a late penalty, and Mazzarri believes that moment was "symptomatic" of their bad luck in recent weeks.
He told Sky Italia: "Chievo did well to be very aggressive towards us and we didn't start well, but they scored with their first chance. It was a fantastic shot from Drame.
"We suffered under their pressing and put them under siege for the second half, but when the ball doesn't want to go in, there's nothing you can do.
"Cavani's penalty being saved was symptomatic of the unlucky moment we are going through right now. Nothing is going our way. Plus Chievo are our nemesis. It's only normal that slowing down like this is disappointing, but we must break through."
AC Milan are now two points behind Napoli in third as the race for Champions League places hots up in Serie A.