Jannik Vestergaard felt Southampton let themselves down in key moments after Wolves scored twice in the closing stages to secure victory at Molineux.
An intriguing game was hanging in the balance when manager Nuno Espirito Santo introduced substitute Ivan Cavaleiro in the 77th minute.
Two minutes later, Cavaleiro scored the crucial first goal, before Jonny struck three minutes from time to extinguish any hope of a late Saints revival.
“I think we were on top in the second half, dominating possession in their half, but in the key moments we are not defending well enough – as a team or as individuals,” Vestergaard said. “That hurt us a lot today.
“We started off a little behind, but we fought back into the game and had some good periods in the first half too.
“I think it was an even game so the first goal was always going to have a very good chance of winning it, especially closing in on the 90 minutes.
“The first goal would’ve been very important for us as well, but we weren’t as effective at both ends.
“We need to get better at winning games. We can’t just pat ourselves on the back and say we’re going in the right direction.
“We can take positives out of this game and say we were dominant in the second half, but it’s not going to give you points if you don’t win.
“We have to be better with the chances we create, but obviously it’s easier to win with a clean sheet and we haven’t been doing that in the last few weeks.”