The counter-attack resulted in a Chelsea penalty, which Eden Hazard converted, giving the Blues the time they needed to force a result.
Ferguson told Sky Sports 1: "We gave the ball away for the third goal having been in complete control of the match at that point.
"All we needed to do was see the game out with good possession.
"Nani is experienced but he's a player who wants to beat men and I often discourage him from that.
"In that situation, if we'd kept the ball at the corner flag, the game's over.
"We had a lot of attacks and nothing came of them, and their counter-attack was very good, but if you're winning 3-2 in the final seconds of the game then you should see it out.
"We've only got ourselves to blame really.
"They're at home, you'd expect them to attack and they did.
"The way we approach games is always wanting to win, so you were always going to get an open game."
"From the spectators' point of view, it was a terrific game of football.
"You get nine goals in a game of football and you're getting your money's worth. There's no doubt about that.
"I think the problem was that the two young centre-backs found it difficult.
"You can play young forwards and it doesn't cost you. But young defenders, it's very difficult at that level.
"Obviously, they learnt from the experience of it. But, nonetheless, it was a hard night for them."
The veteran Red Devils boss had kinder words for Giggs, though, who scored the last goal of a frenetic cup tie.
"Ryan Giggs is a player of absolutely unbelievable proportions in terms of playing 120 minutes at nearly 39 years of age," Ferguson added.
"It's a credit to himself and it's an example to every player on that pitch, even the Chelsea players."
Asked what positives there were from the defeat, the Scot said: "Well, our goalscoring's good.
"That's a great thing to have. We've got the firepower up front, of course, we've got some good options.
"Tonight [Wednesday], Chicharito [Javier Hernandez] shows you what a tremendous finisher he is."