The Eagles failed to take their chances in a 5-1 defeat to Manchester City and the winger was disappointed with their showing.
The Eagles were beaten 5-1 by Manchester City in the Capital One Cup on Wednesday evening, a hugelydisappointing display from the side given how well they played against them earlier in the season.
Although the scoreline suggests things went all City’s way, Palace had several chances in the game to find the back of the net, but were not clinical enough, unlike their opponents.
And Zaha has urged them to improve in that area heading forward.
"I think the whole team tried hard. You can't take that away from us," he told cpfc.co.uk.
"But we've just got to be clinical. We were playing against one of the top teams in the league. If you don't take your chances, they're going to beat you. It felt like every shot they had they scored. We need to take our chances and be clinical when we get into the box."
The big problem for Palace this season is definitely their lack of a proven Premier League goalscorer.
While Alan Pardew spent well in the summer to secure the likes of Yohan Cabaye, he found himself unable to land a big-name striker that he surely would have wanted.
While he has the likes of Dwight Gayle and Connor Wickham at his disposal, neither are likely to score the 15-plus goals a season that the team requires to challenge higher up the table.
That could be a problem further down the line, with the pressure firmly on the rest of the squad to take their chances when they do come along.