Early in the second half, Gloucester trailed 23-3 after a dismal first half display.
They did stage a rally - scoring three tries through Jonny May, Gareth Evans and Martyn Thomas, with Rob Cook converting all three and adding a penalty - but Davies was still far from happy.
"We had to change it at half-time and freshen it up as we didn't turn up in the first 40 minutes," he said.
"The players were given an extra day off this week but we lacked consistency and I'm scratching my head in an attempt to explain our start.
"We lost the physical battle and stopped playing rugby by aimlessly kicking possession away.
"We have performed well in our last two league matches but this was a step backwards. We've made some big signings for next season but we are already addressing some of our problems."
His Wasps counterpart Dai Young was, however, delighted with his own team's performance.
"It's a good step up from where we've been over the last month and we seem to save our best for this competition," he said.
He saw his side score three tries through front-rowers Matt Mullan and Carlo Festuccia, and wing Will Helu, with Andy Goode in excellent kicking form to score 21 points with four penalties, three conversions and a drop goal.
Wasps were only troubled when their outstanding number eight Nathan Hughes was sin-binned.
That allowed Gloucester to score two converted tries in quick succession but Hughes' return allowed Wasps to regain control.
"We showed real intent but that yellow card really hurt us," Young added.
"However I am really impressed as how we came back and pulled ourselves together.
"We didn't panic, took our chances and thoroughly deserved to win."
Wasps now face Bath in a semi-final tie at Adams Park on April 27 which Young conceded would be a difficult task.
"It's hugely important to us to do well in this competition," he added. "It's a massive game but we are under no illusions as Bath tidied us up here last time."