The dressing room was an unhappy place after Rovers threw a two-goal lead away to only come away from Hillsborough with a point when three looked on the cards.
Rovers had a host of chances to put the game beyond Sheffield Wednesday, but the home side never gave up, their reward, a 95th minute equaliser from Atdhe Nuhiu.
"I'm very dejected," said the midfielder. "It is just so frustrating how we can't seem to see it out.
"Fair play to them they kept going and they got that goal, but the game should have been put to bed long before that.
"I don't think the pitch helped, it was very poor, but it is the same for both teams and you've just got to deal with it.
"On another day we'd have finished the game, we should have scored more. We had a lot of chances but we didn't take them and we paid the price in the end."
The Scottish international knows that Rovers can't dwell on the draw and that they've to pick themselves up with an important four games remaining.
"We'll still keep going, we'll still keep trying to pick up results," added Conway. "If we had made it three on the bounce it would have put us right up there and in with a real chance.
"But at the end of the day we are still up there and we've got to just keep going. It is pointless going on about missed opportunities, there are a few games recently where we could have won, but we've just got to get on with it, it's gone now, there's nothing you can do.
"We'll keep going, we'll fight to the end and keep trying to pick up results."
Rovers return to Ewood this Good Friday when Yeovil Town are the visitors in the 3.00pm kick-off.
Tickets are on open sale priced from £15 Adults, £10 Seniors and from £5 Juniors. Book your tickets online today at www.onerovers.co.uk