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Gills skipper Adam Barrett was frustrated at seeing another opportunity pass them by on Saturday.
A deflected corner kick separated Gillingham and visitors Bradford at Priestfield.
“We are very disappointed and at home we wanted to get that elusive win,” he said.
“I don’t know what happened with their goal. It was whipped in at the near post, it seemed to take a couple of deflections on the way, and that seems to be the way things are going at the moment.
“That goes in, we’re 1-0 down at home and desperate to do well. We had a couple of good chances ourselves and we’re just not taking them at the moment.
“We are getting punished for any little thing at the back. The goal was disappointing and we will have to look at that and see what happened there but we had a couple of good chances ourselves but didn’t take them. At the moment it’s been costly.”
It is now eight league games without a win for the Gills since the start of the season.
“We are surprised (not to have won),” said the Gills captain.
“We came into the season full of confidence. We knew we had a tough start on paper and sometimes the longer you go without that win, it can be difficult and we are finding it like that at the moment.
“We need to stay together and stay positive. There is a long, long way to go but we have to start picking up points.
“At the moment every little thing seems to be going against us. Last year everything went our way, but at the moment they are going against us.
“It’s now we will see the real characters. We need to stand up, be counted and fight for one another, but there is a long way to go. If you go and get a couple of results you can easily get out of it.
“We have to strive to do that now. We have to be positive and we have to be brave and have belief in there. We have got good characters and I am sure we can pull through this sticky period.”
Barrett, who enjoyed the title-win last season, is facing a different challenge this time around.
"I am captain of the football club and very proud to be," he said.
"I have had a tremendous time here and really enjoyed it. Now, as a senior player as well, really experienced I have got to try and help some of the less experienced players through it.
"You go through sticky spells in life and football. I’ve been involved in them before in football and you need to keep the belief, keep the confidence as high as possible, which is difficult.
"We all want to do well and supporters are frustrated but for the players this is their career, it’s their living and we want to be successful. It is up to me and some of the other senior players to keep their chins up and we will come out with sleeves rolled up and come out for the next game."