The reigning Premier League champions have conceded four goals in two matches to sit third on the Group D table in Europe's premier club competition and Mancini wants a marked improvement if his side wants to go through to knockout stages.
"We played against Real in Madrid, so it is difficult not to concede chances and it's important not to concede a lot of shots in Europe," he said ahead of Wednesday night's clash with Ajax.
"We had a bad game (1-1 draw) against Dortmund (three weeks ago) but it is important we don't give away so many chances to score.
"People think it will be easy on Wednesday but Ajax have a good young team and will play well. It is more difficult away from home.
"Every group game is difficult in the Champions League but we should continue our way and if we play like this, we will win.
"We don't have experience as a club but all of our players have Champions League experience.
"Maybe as a club, we need more experience, but we have good players and that's why we should be in the second stage.
"We still have a chance to go through - but we must take our chances."