Fulham have surrendered 22 points this season by failing to win nine times after scoring the first goal.
Davies, 28, admitted: "I think it's becoming a psychological problem after happening to us so many times.
"We've got ourselves into so many good positions and let it slip away.
"It's all down to concentration.
"We get ahead of ourselves when there is still a lot of the game to go and opponents have come back."