Spurs were knocked out of the Carabao Cup by the League Two club after losing on penalties.
"It's horrible - it's a trophy, a good chance to pick something up and we've let it slip at the first hurdle," left-back Davies told Standard Sport.
"The manager didn't need to say anything afterwards. In the dressing room, we were all as disappointed as him. We let him down, we let the club down.
"We weren't terrible. We just didn't seem to click, didn't put anything together. We have to win these games. We have to show we're a better side than this. It's a tough feeling right now.
"We just have to apologise to the supporters, too. We let them down. They travel with us everywhere and they're first-class. We need everyone behind us now to help us push on through this difficult time."