The Citizens have to get a win against Club Brugge in the last game of the group stages to have any chance of remaining alive.
Grealish and his teammates were beaten 4-2 by Paris Saint-Germain in Paris on Wednesday night.
“Usually, in these moments, we’re so good. It’s happened too many times this season when we go one, two or even three goals up, like against Feyenoord, and we’ve not been able to control the game and see it out,” said Grealish post-game.
“It’s weird because in every other season we’ve been so good in these moments and managing the game. I don’t know if it’s a confidence thing. Because for most of this season, especially before Christmas, we weren’t at the levels we know we can reach.
“I think it’s down to ourselves to try and change that moving forward and to try and win the game next week.
“We’ve had big pressure games in recent seasons where we turned up. Brugge are a good team and have had good results in the Champions League this year.
“It’s down to us. We’re really good at home so hopefully we can prepare for this weekend against Chelsea and then all eyes will be on that game. Fingers crossed.”