Spurs ran out 3-1 winners in Wednesday's Champions League encounter, which was the club's second victory in 12 matches at the national stadium.
Davies, however, has played down talk of Spurs having an innate issue with playing at Wembley, and is hoping for another good performance when the Lilywhites host Swansea City on Saturday.
The Wales international told the Evening Standard: "We hope it might lift the talk about the struggles we've had at Wembley off our backs, but we've always been confident playing there.
"It's about building momentum and getting on that winning run. That's two big games we've won now and we've got to keep it going."
Spurs currently sit fifth in the Premier League table following two wins, a draw and a defeat.