Nathan Tyson's 90th minute goal looked to have earned the Reds a point at Layer Road but the hosts still had time to score twice more and run out 3-1 winners.
"It is incredible that a team who equalises in the 90th minute can then concede two goals in stoppage time," Megson told the club website.
"I've never been involved in anything like that before, it is unbelievable.
"Lack of concentration in injury time has cost us a point, we didn't just chuck one goal away but two."