The Glamour Boys won the MTN8 last term without conceding a goal, while they claimed Absa Premiership honours with the meanest defensive record in the League.
Chiefs, however, have looked more vulnerable this season, as evidenced by their 5-3 scoreline with Maritzburg United in their first game of 2015/16.
"We not happy with the way we started this season. Last season we didn't concede in the MTN8, this season we've let in four," Khune said.
“We need to start keeping clean sheets as a collective. It’s a work in progress.”
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The agile Bafana Bafana international added: "I've been a victim of long range shots, twice, and I've been working on rectifying that. But it's also the defenders' job.
"We defend from the strikers and attack from the goalkeeper. That's the model at Kaizer Chiefs."
Steve Komphela's men will battle Bloemfontein Celtic for a place in the MTN8 Final at FNB Stadium on Saturday. The teams drew 1-1 in the first leg.