The Yorkshire club lost a seventh successive league match when they fell 17-8 against London Wasps at Headingley leaving them rooted to the bottom of the table with just two points.
The last time they began a campaign in such miserable fashion – 2005-06 – it ended in relegation and there is a realisation they must turn things around soon or face the same fate.
However, Leeds dominated for large periods of yesterday's contest, just as they did a week earlier versus Sale.
It was only their lack of conviction and finishing touches which ultimately saw them fall.
"We had lots of possession, so much possession, but little to show for it at the end of the day," conceded Key. "That probably comes down to a lot of unforced errors at the most crucial times but it really is difficult to put your finger on why.
"We execute in training day in and day out. Probably it is the telling point of pressure.
"Those sorts of things have got to change if we're going to get our first win."
Pre-season optimism about Heineken Cup rugby has now gone but they certainly remain better equipped than five years ago to avoid the drop and have much to build on.
Leeds are only four points behind Newcastle Falcons with more than two-thirds of the season remaining.
They are at Llanelli Scarlets in the LV Cup on Saturday but next up in the Premiership – on November 20 – they head to promoted Exeter, opponents who continued their promising top flight debut with an impressive vanquishing of Saracens at the weekend.
Key said: "We're hugely disappointed. We played five top six teams in our first five games so always knew they'd be tough.
"But these last two we felt should have been wins for us. It's almost unacceptable not to come away with a point today.
"There's no panic in the camp. If we could take that confidence and morale we've shown around training onto the field we'd probably have won three or four games. But we are realists and know what we have to do. We have to be more clinical."