Bakgaga were close to at least getting a point against Amakhosi, but Khama Billiat scored deep in second-half stoppage time to snatch maximum points.
"As I've said we need to consolidate a win and a draw at home, at the end of the day it's tough luck but what can we do?," Thobejane told SuperSport TV.
"They took the three points, thanks to the boys they fought, they went all out. As I've said, 'We need to apply pressure at all costs' to Chiefs.But at the end of the day we need to back to the drawing board but the challenge is missing chances, those half-chances, clear chance
"First half we tried, second half with the subs but it's a game of football we can only take the positives out of it so we can prepare ourselves for the game against Gallants on Wednesday.
"We were solid defensively and with this one you know a deflection can cause anything, so they worked hard. With Masuluke as Man of the Match it shows, he was the only one all out for Chiefs.
"Those chances, half-chances but the race is still on, [we are on] 14 points, others on 18 points, four-point difference, we're still on and we know we can do it. Ten games to go we need to fight.
"But we can't fight with only one weapon of finishing, as footballers you can do many things in the field of play, passing, dribbling and whatever but if you can't finish this is a problem.
"If you can't finish, it's a problem. We have a problem of finishing. That's a challenge but not only to us but because we're down there, we're under pressure. We're the pressure fighters so we need to fight to get out of that pressure.
"And we'll fight and take the team out of that position I believe so, only if we can solve this problem of finishing."