Calipari recently addressed his players about the issue, hoping his talk would inspire the No. 22 Wildcats before Saturday's game against South Carolina.
Calipari said youth has been part of the problem for the Wildcats (18-7, 6-5). Only two players, Darius Miller and DeAndre Liggins, played significant minutes on last year's team — which had a similar problem.
Many of Kentucky's main contributors were in high school this time last year, and rarely dealt with close-game situations.
Calipari doesn't want his team to worry about the scoreboard, imploring them to focus on the entire game.
"This is all new to them," the coach said. "We're working on it. That's what we got to do. That's the issue right now. Let's finish some games up in the last four or five minutes."
Against Mississippi State on Tuesday, the Wildcats led by 13 with less than 4 minutes left before letting the Bulldogs rally to 83-79 with 43 seconds left.
During that stretch, Mississippi State scored nine straight points, the Wildcats committed two turnovers and missed two free throws, both front-end shots in bonus situations.
Kentucky eventually won 85-79.
Freshman Brandon Knight said when Kentucky has a double-digit lead, he and his teammates have been too aggressive with the ball. They've been trying to force shots when they don't need to.
"We need to play to win and not play to the score," Knight said. "Things like knowing time and clock and knowing when we're up double digits. We don't need to score a lot under four minutes if we have a double-digit lead. At that point, we need to make sure we're running clock and taking good shots."
Kentucky has struggled on the road in the Southeastern Conference. The Wildcats are 1-5 in conference road games this season. All five losses have been by seven points or fewer.
Despite a roster full of youngsters, senior Josh Harrellson said the players know what they need to do and how to execute. They just haven't done it. And even though leads have slipped, Harrellson said his team hasn't lost confidence in its ability to close out games.
"I don't think we're less confident now," Harrellson said. "If we play our game, we'll be all right. The last couple of games, we got riled up when we didn't know what was going to happen. We stopped playing our basketball and played for the score, I guess."
Calipari said he hasn't even thought about talking to his team about the NCAA tournament or playing for a first-round bye in the SEC tournament. Kentucky is fourth in the SEC Eastern Division.
Instead, he reminded the Wildcats that they don't need to do anything differently, they just need to play their game.
"We're just worried about South Carolina," Calipari said. "We just have to try to win a game, try to get better, try to finish a game off and just walk in and say, 'OK, let's try to figure this out.' If we struggle again at the end of the game, let's go back and see where we're struggling and what we can do.
"I have a good team and good players, now let's try to keep this thing rolling."