Carrillo is adamant they have the quality to move up the table.
"No, we are not worried. At the moment we are working very hard and working in the right way, so relegation doesn't concern us," Carrillo said.
“Of course we had a negative run in the last few games, but we know that the team is working towards being able to get better results.
“We haven't been good enough and we need to try and get back to winning ways soon."
Meanwhile, Hornets teammate Richarlison has spoken of being a marked man this season.
However, even with the extra attention, Richarlison continues to find space for chances and provide for his team-mates - he set up Daryl Janmaat's opener at Crystal Palace last Tuesday - and he's confident his contribution will not dry up anytime soon.
"Teams are already marking me individually, they are putting two players there on my side," Richarlison told ESPN Brazil, after Saturday's defeat to Huddersfield.
"I'm facing them, I'm making assists, I'm trying to score my goals. I'll keep working to keep bringing the results.
"Unfortunately it's difficult, but I'm doing what I can."