The Tigers have kept just one clean sheet and conceded seven goals in five matches since the start of the new Premier League campaign.
While admitting that the club has a wealth of attacking talent, Davies believes that Hull need to start improving their form in defence.
"It seems like we have gone the other way from last year, when we kept a lot of clean sheets by keeping it tight at the back and then nicked a few 1-0 wins," he told the Daily Star.
"But in a few games this season we haven't been able to hold leads. We've got all this attacking talent but we still need to make sure we don't switch off at the back."
Hull start their League Cup campaign on Wednesday night when they face West Bromwich Albion at The Hawthorns.