Blues mounted a late fightback after the break with Exeter down to 13 men, but their first-half display ultimately cost them the match.
"We didn't do anything that we said we would do in the first half, particularly for our kicking game, and that gave them too many opportunities to come back at us," Davies told reporters.
"I think we had to make 100 tackles and we missed 20 and that is not good enough at this level.
"We have to give Exeter credit for the way that they played but we had far more control on the game in the second half. To get four tries was pleasing to give us some momentum going into next week."
Blues host champions Toulon in their next match in the group on Sunday.