Villa took the lead through Stephen Warnock on the hour mark but found themselves behind just a few minutes later after goals from Martin Petrov and David N'Gog. The result pulls Villa into the relegation battle and McLeish says that they let the win slip away from them.
"I couldn't see that coming the way we played in first half. We were exceptional. We missed a lot of chances and that has plagued us a little bit in recent times," said McLeish.
"We've only got ourselves to blame for not putting the result beyond Bolton. We scored the goal, made the breakthrough with a fantastic goal. But for them to go up the pitch and us to give away a soft penalty the way we did is a shame because the fans didn't deserve it.
"I don't think the team, the way they played, deserved it. But if you are soft and don't defend properly then you are going to lose goals like that."
The Scotsman is thankful however, that their Premier League fate is in their control.
"We still have it in our own hands, we have nine points to play for and we simply have got to get ourselves out of this situation we are in at the moment," added McLeish.
"We just have to find the back of the net more regularly and at the same time I am disappointed with the soft goals we conceded."
Following the defeat, Villa remain in 15th place but are now just three points above the relegation zone following Bolton's win.