But after a dream start with a try from Dafydd Hewitt after two minutes the night turned sour for Blues as tries from Mauro Bergamasco, David Odiete and Brendon Leonard saw Zebre secure a first-ever win the league.
Davies pulled no punches after the game and admitted: "To say we are disappointed is an understatement. We won everywhere expect the most important place - the scoreboard.
"We had 60% of territory and possession in our favour, but it doesn't count for much unless you convert the opportunities.
"I can't fault the intent or the endeavour of the players. But that final pass or breakdown, whatever it was, didn't come off.
"You have to give credit to Zebre. They stuck at it and I said during the week that they had improved. But we still should be winning these games at home.
"They played well and scored some good tries, but it is a tough one to swallow for us. We just have to get on with it on Monday.
"It's frustrating and I've been doing this for a long time. You have good days and bad days and you have to try and treat them all the same.
"We feel we are growing and getting momentum, but then you hit the buffers a bit.
"I told the players I can't fault the effort, but we have got to be better at converting the opportunities we are creating."
Davies was quick to also pay tribute to the Italian side as they scored two well-worked second half tries and fought off a late Blues surge to take the win.
"I went into the Zebre dressing room afterwards to congratulate them," he revealed.
"They have some international players with the likes of Bortolami and Brendon Leonard the All Blacks player at nine. We knew that and we prepared as well as we do every week.
"I am pleased with the intent and how we are trying to play. But we have got to be far more effective and clinical. We have got to be tidier with the ball and convert chances.
"We are growing and developing what we are doing and it will get better. We are still a work in progress and it is frustrating losing games like this.
"We had similar players on last week and ground out a result against Connacht, but it's about being consistent, that is the key to it.
"You need experience and players are not going to have it unless they have nights like tonight. That is part of growing as a team.
"We have got to keep going and keep working hard; that is what we will do," he added.
"We are better than that and should be converting opportunities. But you have to give credit to the opposition, as much as we are frustrated and disappointed."
Blues are next in action on Friday (September 27) when they travel to Leinster and Davies believes a tough game in the RDS could be exactly what his team require.
"It's the kind of game we need. We have six days to turn it around which is the good thing in sport, you go again," he said.
"You're only as good as your next game so let's hope we can put in a big performance. But we are under no illusions going there; it is going to be a tough, tough game."