Middlesbrough boss Tony Mowbray blamed his side's slack defending for the 2-1 home defeat to Millwall.
The Teessiders slipped out of the play-off places after George Friend headed into his own net and Martyn Woolford converted a simple chance.
Boro staged a fightback after the restart and Curtis Main pulled one back before having a second goal ruled out for offside in stoppage time.
"They were poor, poor goals for us to concede from a defensive point of view," Mowbray said. "We made it very difficult for ourselves.
"We gave Millwall something to hold onto and then we had to try and break them down and we couldn't do that. We had chances to get back into it but we didn't take them.
"We didn't get the luck but we can't keep saying that. It is down to us to win football matches.
"Of course we are very disappointed and of course it has an effect on confidence. And of course it is very frustrating for the supporters here who have seen these results over the past few weeks.
"But do we still believe we can make the play-offs? Of course we do. We know we have what it takes and that we just need to stay strong as a group and keep doing the things we did that won us 11 home games and got us in the top six in the first place."
Cody McDonald headed the only goal of the game as the League Two leaders set a new club record of 11 away wins this season.
Cook said: "We huffed and puffed and we did okay and certainly in the second half I thought we could have gone on and win the game but unfortunately for us it just didn't happen.
"I can't fault the effort or application and we created two or three chances but it's obvious that we are not scoring enough goals. I thought we did our best and we knew it was going to be difficult because of the way Gillingham set up but we lacked a bit of quality.
"While it's physically possible we will move heaven and earth to do our best but it looks to be too much of an ask at the minute but as a manager you have to keep believing."
Cody McDonald's second half header was enough to secure the points against Chesterfield and keep Gillingham at the top of League Two.
"It's a fantastic performance all-round from the squad," Allen said. "The great thing is there are so many players who can go in and play.
"We defend as a team and we attack as a team. We played one or two touch football, moved the ball about and though it was a bit scary in the last 20 minutes, we've seen it a million times. When we defend in numbers we are strong and we are not left open.
"It's a victory for the club and it's an historical day to be honest for the club, the players, supporters, chairman and to be manager and get this record makes me very proud.
"Breaking a record of 100 years is fantastic. Deon Burton came in at the end and said 'well done lads, we've made history' and that's all we spoke about. To be the squad and part of the club when we made history is quite amazing."
Alex earned their second win at the Ricoh Arena this month as substitute Max Clayton scored with his first touch.
Leon Clarke had earlier given Coventry a 12th-minute lead that lasted just four minutes thanks to a Mark Ellis volley.
Davis said: "It was a bit scrappy in parts but we came here with a plan again and I thought we wanted to go as long as we could, keeping them out.
"Obviously the early goal was a set back but I always felt we could score from something.
"The game was fairly even. It was a bit of a battle and scrap and that's maybe the result of playing each other four times.
"I think that makes a difference. You know each other player-wise and although we tried to change the shape it is still difficult because our paths have crossed three times already so it was difficult."
Crewe keeper Steve Phillips was man-of-the-match on his last visit to the Ricoh Arena and enjoyed himself again.
"He made two or three important saves, as we expect him to do because that's what he is there for," added Davis.
While the message to Clayton was clear. Davis said: "I told him to go out there and score the winning goal. It's nice when you have a talented 18-year-old to bring on and get you a goal."
Magnus Okuonghae cancelled out Max Power's early opener but then it was all Rovers, with Jean-Louis Akpa Akpro, Ash Taylor and Cole Stockton scoring before Michael O'Halloran netted from the spot.
The U's are three points adrift of safety in the relegation zone following their heaviest home defeat of the season.
Dunne said: "It was very disappointing for us but we have to respond.
"The goals we gave away were very poor and we were second best all over the pitch. We didn't deserve to get anything out of the game.
"Tranmere's first goal was a cracking goal but our equaliser got us back in the game.
"I thought we were okay at that point but a poor defensive mix-up cost us, because it was a basic error.
"The timing of the goal really hurt us and put us in a difficult situation.
"It was a collapse in the second half and I've told my players what I think of it.
"We can't make the mistakes we made defensively and not expect to get punished.
"We have a young changing room in there and there are a few of us who have lost 5-1 in there before but we have to respond - we can't get downhearted."