Dunney reflects on Owls defeatLions defender Alan Dunne expressed his frustration with the goals conceded in the 2-1 loss against Sheffield Wednesday.
A first-half free-kick from Miguel Llera and an injury-time winner from substitute Chris Maguire extended Millwall's winless run at The Den in the League to six games.
A rare goal from Jimmy Abdou had given Kenny's men a second minute lead and Dunney was at a loss to explain how The Lions couldn't build on the early advantage.
"We're disappointed with the two goals. Defensively we've been solid of late but they were sloppy goals. We have to learn from that and move on quickly," he reflected.
"We should have buried the game. We've created a lot of chances recently and the forwards are working hard but we just need that little edge. If we had got the second goal I think we could of won three or four nil but if you don't do that you leave yourselves open for them to score and sadly that happened."
Millwall remain five points off the Championship drop zone on 52 points and will resume League matters next Tuesday against Watford again at The Den. Before then, however, there's the small matter of an FA Cup Semi-Final at Wembley against Wigan Athletic to come on Saturday.
"It seems to have taken an age to come around since it was announced," Dunney admitted. "I've been on eight bookings, (Shane) Lowry's been on 13 and we've been going through games trying not to get booked!
We've got three days to prepare to play a side who have individual players that can change a game at any moment. It's going to be an interesting game.
We have to make sure we don't get taken over by the occasion. The 90 minutes is for work - not a day out - and we want to get to the Final which I think we can."
Saturday's tie is the third time Kenny has taken his side to Wembley, but Dunney doesn't believe The Lions' added experience of playing at the national stadium will necessarily prove advantageous against their Premier League opponents.
"You play there once a year - it's not like you play there every week as a home game. Wigan have experienced players who play at big stadiums in front of big crowds every week. I don't think it'll be a factor."
The Lions are close to selling out their full allocation of tickets for the game and 30-year-old Dunney, who was on the bench for the 3-0 defeat to Manchester United in the 2004 FA Cup Final, believes the backing of Lions supporters could be important.
"The fans here are passionate and 30,000 Millwall supporters is going to feel like 50,000. They want you to put on the shirt and give it your all. If you can do that they'll have you. In the last few years here we've had every player wanting to play for the shirt.
We may not have the money to spend like some other clubs in this division but you can have something you can't buy - the drive which Kenny Jackett has put into this side."