FCK host the first-leg of their Champions League round 16 tie having played since friendlies.
But former Nottingham Forest defender McKenna concedes their defending at set-pieces is a worry and said: "Our way of defending against set pieces has been a big disappointment.
"We have been working hard on it to get the bugs fixed.
"The 5-4 match against Elfsborg was not ideal. We will always score goals with the players we have, but we need to organise ourselves better defensively."