The Royals let slip a four-goal lead to lose 7-5 after extra time against the Gunners and Leigertwood believes that he and his teammates only have themselves to blame.
Leigertwood told Radio Berkshire: "I've not been involved in a game like that since I was a schoolboy. It was disappointing to say the least.
"To score five goals and not win a game is very hard to take. We've got no-one to blame but ourselves."
Reading travel to Queens Park Rangers at the weekend looking to secure their first Premier League win of the season.