David Dunn scored five minutes into the game at Ewood Park on Wednesday night before James McFadden brought Blues level with a well taken free kick ten minutes into the second half.
However, Dunn nodded in his second goal from a corner on 67 minutes to earn Rovers a 2-1 success and it was this goal that annoyed the Blues boss most of all.
"We lost the second goal against the run of play," McLeish said after the match.
"I thought there was only going to be one winner after James equalised.
"What annoyed me about it was the foul on Roger Johnson for the flick on that lead to the corner. Samba climbed all over the top of him and how can the referee not see that?
"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.
"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.
"I'm disappointed, not happy with some of the defending, and I've kicked their backsides, but I expect that they'll rise again to the occasion."