Owen Coyle admitted the result was hard to take as Rovers slipped to a 2-1 home to defeat to Leeds United.
In a match short on chances, the visitors took the lead on 74 minutes when Stuart Dallas drove home.
But Rovers hit back through another thunderbolt from Elliott Bennett, the midfielder following up his stunning strike at the weekend with another long-range effort.
However the visitors stole all three points just a minute from time as Pontus Jansson headed home a late corner to leave the manager hugely frustrated.
"We have let an opportunity pass us by tonight," the manager told Radio Rovers.
"I thought we did very well but ultimately we've got nothing to show for what we put into the game.
"We felt hard done by to go a goal down as we were in total control of the game at the time.
"But we picked ourselves up, we were aggressive and got it back to one each. Then we have a wonderful chance with terrific football as Danny Graham laid it off to young Lucas Joao but it goes over the bar.
"We then should have made sure that we didn't give anything up, so the galling thing it is comes from a simple set-play. It was a good ball in but we've not marked tightly enough and the boy has planted a free header into the corner.
"So it is really hard to take as we put so much into the game. It is so frustrating, I am disappointed for everyone, we should be leaving with at least one point if not the three."
Rovers are back at Ewood Park this Saturday when Queens Park Rangers are the visitors.
Tickets will be on sale until the 3.00pm kick-off, priced from £18 for Adults, £12 for Seniors aged 65 and over, from £12 for 18-21 year-olds, and £7 for Juniors aged 17 and under.
Book online today at www.eticketing.co.uk/onerovers and collect your tickets from the Roverstore collection point on the day of the game.