Fulham captain Scott Parker believes that the Whites were better than Millwall, but as like their opening day loss to Ipswich, it was the Lions who came out on top.
Martyn Woolford scored the only goal of the game as Ian Holloway's side took three points from Craven Cottage as Millwall made it two wins out of two.
"It was disappointing and was similar to last week really where we dominated the game," Parker said.
"Even in the first half I thought we had control, but like last week we lose it.
"We need to try and win ugly because I think we play nice football but we don't seem to have that killer instinct."
He added: "You can play pretty football and look nice but the most important thing is winning games and we need to realise it's going to be hard and at times a battle.
"We lacked a bit of that competitive side and they were the first to things."
Fulham face Wolverhampton Wanderers on Wednesday and Parker believes that the Whites must start to win games before a season where there had been hopes for promotion, turns into a more unpleasant campaign.
"I think technically we are a very good side with some good players but that's two games and two losses now, which is not what you need," the captain explained.
"We need to win on Wednesday now. The quicker we get up and running the better.
"It's still early days so we need to stay positive. I'm sure we will be alright."
Manager Felix Magath has promoted young players and is hopeful that his young charges can develop in order to win promotion back to the top flight.
And Parker admitted that they needed to learn what is required, and quickly.
"A lot of these players have never played men's football," he said.
"They have always played in their own age group, Under-18s.
"They are going into men's football now, which is very different. The boys will learn and realise what they need to do.
"They are very talented players and I'm sure they will get to grips with it and understand there's another side to the game.
He added: "This is a massive step up from where they have been. Some of the boys have come from playing in the Under-18s last season to playing in the Championship. You have to give them time."