Boss Gary Bowyer couldn't hide his dismay as Rovers went out of the Capital One at the first attempt at the hands of Shrewsbury Town.
James Collins' early opener put the visitors in front, and although Rovers drew level after Liam Lawrence diverted a Ryan Nyambe cross into his own net, a goal a minute later from Tyrone Barnett put Rovers out of the competition.
"I am majorly disappointed," Bowyer told Radio Rovers after the match.
"We spoke about wanting to get through and that was the message to the players before we went out, but we've undone ourselves with the sloppy goals that we have conceded. The standard of the goals was shocking tonight.
"That performance was not what we expect from a Blackburn Rovers team, we were not bad but the goals we conceded were unacceptable.
"The feeling is one of huge disappointment. You give people opportunities and some people will take those chances and some don't.
"It makes it a little bit easier for you when you are picking the team for Saturday at Huddersfield."