Lazio won 1-0 thanks to Adam Marusic's late effort.
"We must all understand that we need to give more for Juventus," Szczesny told DAZN.
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We are aware that we haven't done enough in the last two months, it is a negative moment and it hurts all of us. We must be aware of the objectives that we have ahead of us.
Each of us needs to ask ourselves questions. The lads are training hard, they are hungry, but the results are not coming. We all must do better.
A couple of months ago, I wouldn't have said that was enough to make it a good season for Juve. We had the Scudetto dream for six or seven months, did well in the first part of the season, then when that dream got away, we lost something.
It cannot be an excuse, because one victory in nine games is not worthy of Juventus."