Billy Sharp's first-half goal in the Championship encounter at the Keepmoat Stadium condemned Forest to a third one-goal loss from their last four outings, preventing them from closing the gap on leaders Newcastle to two points.
Davies was not too concerned afterwards, though, and encouraged his charges to use the club's legendary European Cup-winning sides of 1979 and 1980 for inspiration between now and the end of the season.
"Why should I be down?" he asked. "We've just come off a 19-game unbeaten run. I've just said to the players, do you think John McGovern won two European Cups because everything went right throughout a season?
"Over a season, there are good times and there are bad times, but we're sitting in the top three at the moment. Ask John McGovern what it takes to win two European Cups."
Davies felt his side's inability to take the rare chances they were presented with, plus referee Andy Penn's failure to award a penalty when Chris Gunter was brought down by Mark Wilson, meant it was never going to be their day.
"It's horrible because we had three one-on-one situations with their goalkeeper and we had a stonewall penalty turned down in the first half and we lost a very soft goal," he said.
"You can't have three one-on-ones and that penalty claim and it be your day. I said for weeks that these things would happen between now and the end of the season.
"But we need to earn the right, and the players need to enjoy the good times and the bad times. I've been through it all before."
Doncaster manager Sean O'Driscoll saw Sharp hit the 12th goal of his loan spell from Sheffield United with a well-taken first-half header, and reiterated his desire to sign the 24-year-old on a permanent deal in the summer.
Sharp has found first-team opportunities hard to come by at Bramall Lane, hence his loan spell with Rovers, but O'Driscoll knows he will need to shatter his club's current record transfer fee of £300,000 if he is to land Sharp on a permanent deal.
"He's not my player, he's Sheffield United's player so I can't say what I'd like to do with him in the summer" he said. "Of course I would like to keep him but someone needs to give me a million quid.
"He has been terrific for us. He had four or five games when he went without a goal and we said to him not to get frustrated because he is still a big influence for us. I'm pleased for him and all the goals he has scored for us have been crucial.
"He had a good tussle with Wes Morgan today and he gets frustrated very easily, so we told him to handle it, and he did so very well."
Source: Team Talk