Utah squandered a 16-point second-half lead, falling to the Memphis Grizzlies 91-87 at EnergySolutions Arena.
"I thought we had that one," Favors said afterward.
After dominating the first three quarters of the game, the Jazz's shots failed them, as they went cold over a stretch of more than three minutes, letting the Grizzlies overtake them late.
The loss dropped the Jazz to 23-49 on the season. Utah is now 4-16 over its last 20 games.
Before the matchup, forward Gordon Hayward wasn't making excuses for his team's play over the last few weeks.
"It's just poor performance," he said, shaking off questions about physical and mental fatigue.
As the season winds down, Hayward said the Jazz should feel emboldened to play free.
"We shouldn't feel any pressure at all," said the swingman, who went on to record 18 points and four steals Wednesday. "We're already out. We need to focus on getting better as individuals and getting better as a team. If we're making mistakes, it's making them aggressively and for the right reasons, not passive mistakes or poor execution, things that we should have already learned throughout this long season."
"Any time you make the same mistakes twice, it's not very good," he added. "But sometimes it takes more than once to get things right."
After falling twice to the Grizzlies in Memphis earlier this year, the Jazz looked like they'd learned their lesson. Utah jumped out early and had a bounce to its step the team has lacked through much of the past few weeks. The Jazz owned a 50-40 lead at halftime, behind a solid performance by Favors and Enes Kanter. The duo more than held its own against Memphis' big men, combining for 22 points and 15 rebounds in the opening two quarters.
"They tried to show Marc [Gasol] and Zach [Randolph]: 'We're the new bigs on the block and we're coming,' " Memphis coach Dave Joerger said. "They were fantastic all game long and especially in the first half."
Favors finished with 22 points and 10 rebounds. Kanter had 11 and 15.
In the third quarter, the Jazz pushed their advantage, going up 16 on a Richard Jefferson layup midway through the period.
But after looking out of sorts for much of the game, the Grizzlies turned it on when it mattered most.
A Mike Conley jumper cut the lead to five.
Kanter missed a jump shot on one end while Gasol hit free throws on the other.
After the Jazz missed two chances at a buck, veteran sharpshooter Mike Miller drained a wide-open corner 3 to tie the game at 84. Then a technical free throw the product of a defensive three-seconds call gave Memphis its first lead since the score was 11-10.
Randolph scored 22 points and grabbed 13 rebounds as Memphis built a lead of its own. Gasol had 18 and 7.
"Instead of coming together and making adjustments, us as players out there on the floor, we just continued to basically play into their hands," Burke said.
Burke, who has provided big shots for the Jazz when they've needed them this season, missed a free throw that would have made it a one-point game late.
On the other end, Memphis hit its freebies to seal the win.
Burke lost four games in his high school career and fewer than 20 during his two seasons at Michigan. He expected rough times this year, but believes he and his teammates are learning.
"It's a growing process," he said. "It's a learning process."
Wednesday was one more difficult lesson.