Jacob Mellis gave the visitors a lead from the near post in a game that they certainly deserved to be in front.
But just on half time Rovers were back on terms when once again Jordan Rhodes got himself on the score sheet.
And the fact that Rovers snatched the winner late on through Nuno Gomea, left hill fuming and unable to take defeat on the chin.
He told reporters: "It's a modern-day footballing tragedy. We've taken on the Kings of Saville Row if you like and we've taken the game to them, and to a certain degree, we have played the better football.
"But it's not about playing the better football, it's about getting results, and maybe I won't be in the business too long if I can't play football like that. I won't change my philosophy."
He added: "The game was won by £8million (the fee paid for Rhodes), which is a lot more than my budget.
"It is an unfair advantage that Blackburn get parachute money, or solidarity money. You get rewarded for getting relegated. How can you be rewarded for being relegated? Does it happen to any other country in the world? It absolutely amazes me."