The confessed Unitedite was appointed as the new Blades manager in late December and took charge of his first game at Burnley on New Years Day, and he is still to record a win seven games later.
The Blades have had to settle for three draws in the eight games under Adams, and a Kevin Lisbie goal right at the death for Millwall on Saturday scuppered any hopes of a first win.
Daniel Bogdanovic put the Blades in the lead from the penalty spot on 77 minutes after the Maltese frontman was felled in the area.
Adams said: "Supporters aren't daft. They've seen what they've seen today and at the moment I'm not a very good manager - what I need to be is a lucky manager because at the minute I'm having no luck.
"It is so disappointing to get so close and not see it through for the win, but we have not defended a set-piece properly at the end and it cost us.
"The players are a bit nervous which is bound to happen when they are in this situation, and defending set-plays has been an Achilles heel. Again we have been undone by not picking up a spare man - it's scandalous.
"At the end of a game we need cool heads and players knowing their jobs, but there was clearly a lack of communication between the boys.
"We started off very well and positively, had good support and I think it must have been about 25 minutes on the clock before Millwall had an effort at goal. At half-time I told the players that things were going well."
Adams finished: ""We need to produce a win and three points but tossed away two in the dying minutes which is particularly galling when you look at the results of the teams around us.
"But on the positive side if we can beat Reading on Tuesday we can go above Palace and out of the bottom three. We will keep going, try and do the right things and pick a team that we think will do the job."
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