The 22-year-old is at the centre of a Championship tug-of-war with the likes of Stoke City, Swansea and Bournemouth all interesting in taking Davis on loan.
Heskey told the Birmingham Mail: "I think he needs to play.
"He needs to get that confidence back. I think he needs to play consistency because, again, what football is he actually getting? If he's getting 23s football that really doesn't bode you well for coming on in a game and making a difference, does it?
"He should go out and play, get that consistency of playing and improving his confidence. What I've saw from him is I like what I see. But, if you're playing five minutes or 15 minutes every three games it's not enough. No disrespect to 23s football but that's not going to push you either.
"You need first-team football somewhere. I think he needs to go out on loan. He needs to just go out and play some football. That will be putting pressure on you as well to go and perform as well."