The former Championship side were knocked out of the competition last night after the Gunners made a stunning comeback to clinch the contest 7-5 in extra time at the Madejski Stadium.
"It's hard to describe what happened," Sky Sports News quotes Gorkss as saying. "It's the first time something like that has happened in my career.
"Even when you're 4-0 up you can't switch off against a team like Arsenal, they showed us what a world class team they are. We have ourselves to blame. We're going to analyse what went wrong but in general we're very disappointed."
Meanwhile, the Royals have switched their focus back to the Premier League as they prepare to take on Queens Park Rangers this weekend.