Sundowns could have beaten Al Hilal by close to 10 goals at Loftus Stadium on Saturday but missed numerous chances through Themba Zwane and Peter Shalulile up front.
The Brazilians scored their goals through Mosa Lebusa and second-half substitute Kermit Erasmus.
"We are complaining about the team not being shrewd enough and people that we would expect to score those chances unfortunately today didn't take them. Yes, it's a fact and we have been complaining about this," said Mngqithi after the match.
"If you look, even the game we played against Chippa United we scored two goals and we could have easily scored eight to ten goals. Against Stellenbosch it became a humdinger at the end and again we could have scored four with the chances we got.
"Unfortunately we have not been very clinical. Our goalscoring ratio is not bad but if you look at the expected goals and the chances we create, we always look like a team that can score many goals but unfortunately we don't take the chances the way we should."
Despite their profligacy in front of goal in recent times, Mngqithi refuses to put pressure on his strikers to deliver goals at Chloorkop.
"We would not want to put stress and anxiety onto the players because the more you demand, the more you put them under tremendous pressure and they end up not giving you what you want. It's a very sensitive area to talk about," he added.
Sundowns return to domestic football on Wednesday when they host Baroka FC at Loftus Stadium (17h00).