Nigel Pearson's side lost 1-0 at the KC Stadium and successive home defeats have left them seven points adrift of the top six with 10 games remaining.
But Rosenior, 26, has not given up the chase and said: "All isn't lost. We've had a talk among ourselves and we still believe we can do it.
"There's nothing to fear. Burnley are one of the form teams in the division and we'd back ourselves against anybody.
"It can get frustrating because we all know how important results are for us at the moment but the fans are with us all the way and we're going to need that.
"As a club there seems to be a real togetherness at the moment and we need to keep that if we want success."