The Blues boss was disappointed with the way in which they conceded the late goal, Maynor Figueroa scoring the winner in the second of five added minutes.
McLeish also felt that Blues should have had a penalty just moments earlier for an Antolin Alcaraz challenge on Curtis Davies.
"We started the game so well but when we lost the goal we seemed to lose the plot," he said.
"Figueroa's right leg is only usually for standing on but he threw his weight behind it and how it went in is a mystery.
"Ben Foster never saw it until late because of the amount of bodies in his way.
"How the referee doesn't see it is a penalty before that, I am baffled. Alcaraz does not look at the ball, he just takes the player out."