The Reds lost a 1-0 half-time lead to fall 3-1 behind to Paul Merson's side before David Friio's late goal gave them some hope.
Although Megson was unhappy with the decision to send off keeper Rune Pedersen he told the club website: "What cost us the game was that we were so far on top and then we took our foot off the gas and instead of doing all the things that we did so well in the first half, we thought we could cruise through it."