The Biancoceleste lost 3-1 at Catania last weekend to drop to mid-table.
That result was Lazio's first loss under Reja and ended their five-match unbeaten run in the league.
Lazio endured another disappointing night when they fell 1-0 at home to Ludogorets in Thurday's Europa League last 32 first leg.
The Romans travel to Bulgaria next Thursday needing to overturn the tie to progress in the competition.
"I didn't expect a defeat against Ludogorets," Reja said. "Lugodorets are a good side but we should have done better.
"We didn't make the most of our chances and we ended up paying for that.
"We made many mistakes and I'm disappointed with our latest displays.
"We still have 90 minutes left to play in the tie and anything can happen.
"We will go to Bulgaria determined to turn things around.
"First we must turn our attention to Sunday's match against Sassuolo and return to winning ways."
Rivals Sassuolo travel to Rome in desperate need of points.
Last weekend's 2-0 defeat against Napoli was their fifth straight loss and dropped them to the foot of the standings.
With the Emilia-Romagna club just three points adrift of safety, Sassuolo coach Alberto Malesani is not ready to throw the towel just yet.
"We cannot forget that in recent weeks we have faced very strong teams like Hellas Verona, Inter Milan and Napoli," Malesani said.
"It's true that we have to improve but our season starts now.
"We are going to Rome determined to bring back three points."
Sassuolo have won just one of their 12 games away from home this season.
A lack of goalscoring has been Sassuolo's main problem with Malesani's side having found the back of the net twice in its last five league games.