"We have to stay calm because there is no reason to panic. It will not help you to panic," Stekelenburg told British media.
"If you lose games and the results are not what you want them to be, it is always awkward. The confidence goes down because you don't get the results.
"To get back in it, we just have to work hard and work hard to get a result."
The Netherlands international is expected to be available for the fixture against second-placed Arsenal on Saturday, after recovering from a toe injury.
"It is part of football. It happened in training. It is always difficult and frustrating while you cannot help the team. I am just happy I am fit again," Stekelenburg said.
The keeper, who is on loan from second tier side Fulham, said Ronald Koeman's side will not alter their style of play in their upcoming matches.
"Everybody expects Arsenal to win but it's about us and how we can beat Arsenal is by playing our football," the 33-year-old said while adding the table is very close and one victory can help them jump many places.
Another injury update on the goalkeeping front was Fraser Forster's return to full training after nine months on the sidelines due to a knee injury.
"I think that's the next step, and now we have to choose a good date when he plays his first match, his first maybe under-21 [game] -- the 6th of January, maybe it will be," manager Koeman told the club's website (www.saintsfc.co.uk).
(Reporting by Chris Peters in Bengaluru; editing by Sudipto Ganguly)
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