Six of England's eight goals in the tournament so far have come from set pieces, with only Jesse Lingard and Harry Kane's deflected effort coming from open play.
"With the formation we play, we like to keep possession of the ball but we also like to create opportunities," Welbeck said to 'Sky Sports'.
"There has been a lot of talk about set-pieces and getting goals from that but in this tournament a lot of goals have been scored from set-pieces.
"We have created opportunities but maybe we have been fouled in dangerous positions, which is leading to us not getting as many goals from open play."