The Clippers lost for a third straight game on Friday, going down 126-144 to the Dallas Mavericks.
That was despite a fast start from Los Angeles, who had built a 12-point lead with 1:53 remaining of the first quarter.
"What's the worst that you can be?" Lue asked when reflecting on the rest of his team's display, as they were put to the sword by Luka Doncic's 44 points.
Yet the Clippers coach feels wins will soon come as Paul George, Kawhi Leonard and Russell Westbrook gain some rhythm with Harden.
"I'm telling you, it's going to be good," said Lue, who rested his starters in the final quarter given the Clippers were trailing by 26 points.
"That's all right. We'll be all right. They better take advantage of it now."
Leonard echoed the sentiment, with the two-time NBA champion saying: "I'm still confident.
"I still feel like we're learning each other, the whole players and coaching staff, and you see a little bit of good things in the game tonight, even last game, having some good leads.
"We're just not sustaining it and once we figure it out, we're going to keep it rolling. So we've all got to stay afloat and stay confident and keep pushing one another to keep that mindset on the goal.
"We have four guys on the floor that are used to having a ball, used to finding a rhythm just by feeling and touching it all game.
"Just playing more, you'll start to figure out, OK, this guy needs this spot here or he got it going, let me buy in into another part of the game where I can make us win."
Leonard led the Clippers with 26 points, with Harden and Westbrook each chipping in with 14. George, though, could only score eight points, adding three rebounds and two assists, in his 23 minutes on the court.
"I feel like you got to learn to just adjust," George said. "It's not from a 'like' standpoint, it's just he's trying this out, too.
"We're all trying to try this out and so I don't know. I don't know, I'm out there to try to just learn on the fly, figure it out on the fly as we all are.
"So I'm rolling with what T-Lue sees out there and again, at some point it's going to work and nobody's going to talk about the rotations and guys on the floor and personnel."
Harden, too, acknowledged it will take time to fully adjust.
"Just getting used to it," he said. "There's just so many great talented players on this team, I got to find a way to still be aggressive, generating shots or creating shots for myself, as well.
"The first quarter felt really good on both ends of the ball, and then from there it went downhill. So trying to find a balance of not trying to step on anyone's toes, but just trying to still be aggressive and be myself.
"It's a process, but it's definitely a little frustrating. We do like to win games."