Mills is hoping that his side recover quickly from' Saturday's defeat which was their third defeat in as many games.
"It's gone wrong all over," he added. "We didn't defend, we didn't win the ball in midfield and we were not good enough in the final third. It was a poor performance.
"In the first half we virtually laid down and let them score two goals. I was happy to go in only 2-0 down at half-time.
"I've brought myself on although I'm not fully fit and, in the first 20 minutes, we could have been 4-2 up.
"We are just not performing for some reason. It's up to them to keep their shirts and get their confidence back. We have got the ability, but we are just not using it at the moment."
A bright opening saw new signing Anton Thomas and Dave Puttnam both flash shots across goal before Havant opened the scoring after 12 minutes.
Lynn failed to clear their lines from a deflected shot by Paul Wood and James Taylor was on hand to fire home from close range.
Thomas powered a header just wide before Havant doubled their lead five minutes before the break when Tim Handley blasted home after Taylor's shot had been blocked.
The introduction of Mills seemed to liven up the Linnets and Puttnam had a first-time volley hit the bar.
But Taylor made the game safe just after the hour with a free header at the far post before former Tottenham striker Dave Leworthy completed the rout with a close range tap-in after Chuck Martini had parried Neil Champion's strike straight into his path.
Skipper Dave Robinson scored a late consolation for the Linnets from a goalmouth scramble, but it was scant consolation for the long trip home.
He has promised to ring the changes for tonight's bottom of-the-table clash with pointless Tamworth after Saturday's debacle.
"I'm not going to have that and King's Lynn Football Club are not going to have that. It is not acceptable," he said after the 4-1 reversal.
"I was bemused by it all. We've got a squad of players at this club who I thought were winners, but they are underachieving.
"I am not happy at all. We have come all this way and we are going back having lost 4-1 and it could have been more.
"We have got four points from a possible 15 and that is not good enough. It is my job to put it right.
"We are better than that, but I've looked at things over the weekend and will decide where we go now.
'If the players out there don't perform then I've got to do something about it. If the players don't take their chance then that's their problem.
"I want 11 players out there who are going to play with pride and show big hearts for this football club.
"We have not shown enough heart and that hurts me. I've fought tooth and nail to get these players back here and I want better from them.
"They know what I expect and if the standard is going to drop then I'm going to get other people in."
Mills takes his side to face a Tamworth team tonight who have yet to register a Dr Martens League point after five straight defeats.
"I've got to do what I can with the squad of players I have got, but the only player who is going to get a shirt at the minute is myself;" he confirmed.
"Not one player is certain of playing tonight. I'm working hard to put it right. I'm not letting the players get me the sack.
"It's a bottom-of-the-table clash and we have got to get out of it. They are going to be fired up to get some points. They have not won in five, but we have got to make sure it's six."
Linnets: C. Martini, S. Dakin C Clark (G. Mills h/t), A. Bullimore, G Fuff, J. March, E. Nwadike, D. Robinson, A. Thomas (J. Palmer 71), D. Puttnam (L. Rowland 71), T. Wright.
Havant: P. Nicholls, G. Connolly, B. Price, G. McDonald, S. Gale, L. Daish (M. Jones 80), P. Wood (D. Wakefield 73), T Hambley (D. Blake 86), D. Leworthy, J. Taylor, N. Champion.
Att: 440. (given as 540 on DM Bulletin)