David Dunn bagged a brace to secure the win for Blackburn, despite James McFadden scoring an equaliser in the second half.
McLeish told Sky Sports: “We played well again. The possession was good, we didn’t quite create as many chances as we did at the weekend but we lost the second goal against the run of play.
“It was a clear foul on Roger Johnson with Samba climbing all over the top of him.
“Now I’m hearing that the ball was outside the corner flag quadrant, so that’s really disappointing to hear something like that cost you a goal.”
Dunn sent Blackburn into the lead after just five minutes.
“For us it was a horrible goal because it was a punt up the pitch and one defender was squeezing up, the others were behind him,” McLeish added.
“He couldn’t quite deal with it, they kept the ball alive and it’s a nice finish -disappointing from our point of view.
“Sometimes it happens, you go through a spell where you ship soft goals when otherwise you’ve been absolutely brilliant in defence.”
McLeish has nothing put praise for his players despite their recent drop in form.
He said: “These guys, some of them have come from the Championship, some of them have been written off.
“One or two are playing in different positions. Liam Ridgewell, for instance, has made the left-back position his own, so there’s remarkable progress from these players.
“I’ve got nothing but praise for them.
“I’m disappointed tonight, not happy with some of the defending, and I’ve kicked their backsides, but I expect that they’ll rise again to the occasion.”
