Boss Gary Locke was given the Killie job full-time after recording just one defeat in eight Scottish Premiership games as caretaker.
But his team have taken a dangerous slide towards the relegation play-off place after successive defeats to Ross County, Motherwell and Aberdeen.
They now sit just seven points above Well and midfielder McKenzie cannot explain why things have gone so wrong so quickly.
However, Killie now have the chance to right their listing ship if they can pull of a shock by beating champions-elect Celtic at Parkhead on Wednesday night.
McKenzie said: “No one knows why we have dropped off in the last few weeks.
“It just seems in the first half we are good, and in the second things don’t work - and vice-versa.
“It’s vital we try and regain some form and put the relegation play-off to bed.
“If we had won on Sunday against Aberdeen, we’d have had a 10-point lead and that would have been quite a big gap for Motherwell to claw back.
“But now it’s seven and we need to try and get back to winning ways or we could find ourselves sucked into that fight to avoid finishing 11th.
“They don’t come much harder than Celtic away and it will be a tough match - but three points would be massive for us, especially with the games coming up after the split.”
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