The Azzurri drew a blank in front of goal with Jorginho spurning a penalty, while Lorenzo Insigne and Domenico Berardi fluffed golden opportunities too.
Despite an uninspiring result, only days after a 1-1 home draw with Bulgaria, Italy eclipsed the previous unbeaten international mark held by Spain (2007 to 2009) and Brazil (1993 to 1996).
But Mancini was irritated with his side’s profligacy and more focused on resolving those issues than records.
“This is a moment when the ball just isn’t going in. Once again, we had too many chances not to win this game,” Mancini told RAI Sport.
“It’s not the penalty, it’s other situations, we need to be more determined, more clinical, more precise. Just like with Bulgaria, it’s another match we cannot fail to win with that many scoring opportunities created.
“It was tougher in the second half, but we had the chances in the first half and the second, which means the team did play good football.”
Italy’s goalless display was only the third time they have drawn a blank under Mancini. The Azzurri had scored in 17 consecutive matches.
Mancini’s side remain top of Group C with 11 points from five games, but Switzerland are four points behind with two games in hand.
Elsewhere in UEFA World Cup qualifying, England piled on late goals to claim a 4-0 home win over Andorra, while Belgium eased past Czech Republic 6-0.
Germany re-discovered their goalscoring touch with a 6-0 demolition of Armenia led by Serge Gnabry’s early brace.
Gareth Bale scored a hat-trick including a last-gasp volleyed winner for Wales to edge Belarus 3-2 away.
Spain defeated Georgia 4-0, Hungary went down 1-0 in Albania, Poland thrashed San Marino 7-1 and Greece were 1-1 by Kosovo.