The Rhinos were eliminated at the first hurdle on Saturday with a 20-24 defeat at home to Catalans Dragons.
With Leeds being knocked out in the opening round of the playoffs for the first time since 2006, Burrow concedes that he expected his side to go further in the competition.
"Obviously we've been in situations when we've not reached the final before, but this one seems the most unexpected," he told the Yorkshire Evening Post.
"That's no disrespect to Catalan. We knew we were in for a tough fight, but to go out in the first round of the playoffs... you don't train that week thinking this could be the last week at training. We are shocked and really disappointed, obviously."