Harry Redknapp's side dominated the fixture at Loftus Road and, after coming from behind twice to draw level at 2-2, the Hoops were dealt a late blow when a Steven Caulker own goal gifted the Reds a 3-2 victory.
"We're all desperately disappointed, we let ourselves down," Henry told the club's official website. "We played so well, so to come in with no points from the game is a joke really.
"We've only got ourselves to blame though because we threw it away. It was ridiculous."
QPR remain at the bottom of the Premier League table with four points from eight games this season.