Wales were thrashed 40-7 by the Chiefs on Tuesday and scored just one try as the Super Rugby side ran in six.
Gatland's men, beaten 39-21 by the All Blacks in the first Test, have scored four tries in their last three games.
"We've spoken about chances that we create and being more clinical," he said.
Wales have lost 27 consecutive games against New Zealand, with their last win coming in 1953.
They are looking for a first win over the All Blacks on their own soil and play Steve Hansen's side at the Westpac Stadium on Saturday, before ending their tour against the Kiwis in Dunedin.
Wales wasted a handful of try-scoring chances in Hamilton on Tuesday, while the two-time Super Rugby champions were supremely clinical.
"The disappointment for us was, was there a little bit of white-line fever? There possibly was on a couple of occasions," said Gatland.
"You've just to keep being tough on the players and say at this level if you create chances you've got to finish them off and be hard on the players about that.
"Sometimes you don't get many chances to score at this level.
"Every opportunity the Chiefs created they came away with points. We hammered away in their 22 and created some chances and we've come away with nothing, and that's where we've got to improve."
Gatland admits defence is an issue too, with Wales having conceded 16 tries in their last three matches - a run which started with the 27-13 defeat by England in May.
"For us, the big thing coming down to New Zealand is getting off our line defensively and looking to be more proactive in dominating those collisions defensively." he said.
"At the moment we are coming off second best and that's what we have to better at.
"If you win those collisions, you slow the ball down and you stop teams playing a bit more on the front foot.
"We've got to get that right, hopefully over the next few days."

Media playback is not supported on this device
The Magpies were booed off following the 3-1 loss to Bournemouth on Saturday - a third successive league defeat that leaves them 19th in the table.
It also increased speculation over head coach Steve McClaren's future.
"If that's a performance from the players to say they are backing the manager, they are in trouble," Shearer told BBC's Match of the Day.
"McClaren is in massive trouble, he has to take his fair share of the blame."
Media playback is not supported on this device
Shearer, the Magpies' all-time leading goalscorer, was in temporary charge of the club the last time they were relegated in 2009.
"There is no statement of intent on the pitch from the players, and there are no academy players coming through," he added.
"Chief scout Graham Carr holds most of the power when it comes to players coming in and out. There was a £15m striker [Aleksandar Mitrovic] who sat on the bench today."
Newcastle are currently a point behind 17th-place Sunderland with a game in hand, but they are nine points behind Swansea in 16th, with 10 league games remaining.
McClaren admitted after the game that his side were now in a "four-team league" battling against relegation along with Sunderland, Norwich and bottom club Aston Villa.
He also said their defeat on Saturday was "going down material". It is now only one win in their last five games, in which they have conceded 12 goals in losses to Everton, Chelsea, Stoke and Bournemouth.
Former Arsenal defender Martin Keown played under McClaren when he was a coach in the England set-up in the early 2000s and questioned his ability to lead a team.
"I think McClaren is an excellent coach but not a manager. He looked like a rabbit caught in the headlights," he told BBC's Match of the Day.
"With managers like David Moyes, Brendan Rodgers and Rafael Benitez around, he's in trouble."
Wales coach Warren Gatland says his side must be better in attack in Saturday's game against world champions New Zealand in Wellington.
[NEXT_CONCEPT]
Newcastle are "a mess from top to bottom", according to former captain Alan Shearer.