Arsenal had a 2-0 lead before Lee Bowyer reduced before half-time. But as the Blues looked to be closing in on equaliser, Andrey Arshavin ended their hopes.
“We were having a good moment and we really needed to score at that time. Who knows, they could have become edgy as we started to make more chances,” McLeish told Sky Sports.
“The third goal killed us. You always think you can stop goals and we could have stopped all three of theirs, yet they are fantastic team.”
He added: “We didn’t have too many opportunities but it is all about belief.
“We showed our spirit and but for a couple of moments we could have been coming away with another draw.”
