The U's suffered their ninth successive league defeat - a new club record - and have now dropped into the relegation zone.
Jimmy Ryan and Karl Hawley put Scunthorpe in control before Freddie Sears pulled one back.
Dunne said: "I just need to consider my position now.
"I need to speak to the chairman, who has been very supportive of me.
"I know what I want to try and do at the club but I love this club too much to see it suffer the way that it is at the moment.
"I really believe that I can take us up but we've lost a lot of games.
"It's still the problem and I'm trying to fix it and do what's right to try and amend things but the players and everyone need to stick together.
"We've got good players in the team but it's all about results now.
"I love the club a lot and I want to keep fighting but I know I need to assess all of the solutions. If part of the problem is me then I'll always be honest enough to say, what can I do?"
- Sports & Recreation