A Daniel Agger penalty and Andreas Bjelland tap-in gave the Danes a comfortable win but Harry Kewell and Alex Brosque both missed clear-cut chances for Australia.
And Osieck - who was upbeat about his side's performance - knows his team must become more clinical in front of goal in their two 2014 World Cup qualifiers against Oman and Japan over the next fortnight.
"In football it's normal - if you don't score then you don't win," Osieck told Fox Sports after the match.
"We had a couple of excellent opportunities and unfortunately we couldn't convert. That is definitely what we have to look into. We cannot play well and not score. That's a problem."
The German coach was relatively pleased with the way his team responded after a slow start, and wants the players to immediately switch their focus to their match against Oman in Muscat on Friday.
"It is very encouraging," Osieck said.
"I think after some shaky 15 minutes or so, we found our rhythm, we got into shape, we had a better adjustment to the game. We had some excellent counter (attacks) in the first half and secondly, even some more good chances.
"I think we shouldn't drop our heads (after the loss) and now the main focus is on qualifying. That is where we have to bundle all our energy to make that happen."
Australia captain Lucas Neill had similar thoughts on the game and felt if they had have converted their chances, the result could have been different.
Neill also felt the goals they conceded were poor and avoidable.
"We want to look at the positives," Neill said.
"We have had a really busy week and a tough week physically. We have had a game today where we started a bit shaky but got some good shape and then we started to play and got into the game in the second half.
"We created some great opportunities and had we taken them it would have been a much different game. The two goals we conceded were avoidable and a bit sloppy on our behalf. We can always correct that."
Mark Bresciano, who was the main attacking threat for the Socceroos, felt the match was a good tune-up for the trip to Muscat on Friday.
"I think it was a good preparation for the important game against Oman," Bresciano said.
"The main thing that we learnt today is that we have to be more clinical in front of goal. I think we created a lot of chances but our finishing wasn't up to date today."