The Royal Blues were leading 2-1 and had chances to score a third, but their profligacy was punished in the last minute by a Souleymane Camara goal, much to Stevens' dismay.
"We controlled the game for a long time, but we did not finish things off," he said. "That annoys me.
"Things are not going very well for us in front of the opposition's goal, and then we concede an equaliser with a goal which should never have been conceded.
"We set up their equaliser ourselves by not finishing an attack of our own just before the end."
Stevens added that the result must serve as a lesson to his side, who recently beat Mainz 3-0 in the Bundesliga despite a poor performance, and threw away a two-goal lead only to draw with Fortuna Dusseldorf last weekend.
While sometimes teams can be more forgiving in the Bundesliga, Stevens says that is rarely the case in Europe.
"If you don't take your chances, then you get punished," he said on his website. "We really should have finished them off."