Halfpenny was named man of the series in this summer's British & Irish Lions tour to Australia, a near-flawless kicking display seeing him rack up 49 points across three Test matches.
However, the full-back was off target twice as the Blues failed to back up a Heineken Cup double over Glasgow Warriors against Welsh rivals Ospreys.
It was his countryman and Ospreys fly-half Dan Biggar, who was named man of the match, kicking 17 points from the tee to Halfpenny's 14.
But Davies insisted the 25-year-old would not dwell on the disappointment too long - and he will be winning games for the Blues again soon.
"Leigh is our match-winner. He's won us games in the past and will win us more in the future," he told Wales Online.
"It was tough for both kickers - they both kicked well considering the conditions."
Halfpenny's Wales and Lions teammate Justin Tipuric also got on the scoresheet, touching down in the second-half with the match-winning try.