Wasps won 25-17, but were leading 25-3 with 32 minutes to go and then went totally off the boil.
"Mentally we have got to look at why we seem to be relaxing," said captain Dallaglio, who this week brought the curtain down on his international career and who will quit all rugby at the end of the season.
"Casual, I think, is the word. We conceded some sloppy tries and find ourselves under pressure. But it will keep our heads down in training this week for what is going to be a very tough game next Sunday."
Wasps continue their defence of the Heineken Cup at home to Llanelli Scarlets and, having lost away to Clermont Auvergne, cannot afford another slip-up.
They then travel to Munster for the final pool game before visiting Premiership leaders Gloucester on January 26.
"The next four or five games will define our season," added Dallaglio. "We'll step up the intensity and these are the games we are looking forward to."
Josh Lewsey, who will learn this week if he is still part of England's plans, misses next weekend's game because he is getting married - "his team-mates are delighted for him," joked Dallaglio.
Meanwhile, Wasps director of rugby Ian McGeechan stated that the club are still waiting for a written proposal from Wales on their plans to use the club's coach Shaun Edwards on a part-time basis.
Edwards was offered the role by his former colleague at Wasps, Warren Gatland, who took over as coach of the Welsh national side following the World Cup.
"Wales are getting in touch with us," said McGeechan. "With something down in black and white the club can take it forward. That's what the board are quite keen to have in front of them and we're expecting to get that. It's a work in progress."
Leeds director of rugby Stuart Lancaster refuses to concede that his side are doomed to relegation.
"I take a huge amount from that performance," he said. "We've come down to the European champions, they have picked an extremely strong side and we have come close to winning the game.
"If we keep working hard and believing in ourselves it will come right and we are a long way from the end of the season. We've emerged from the last three games with credit, but the trick is that we have to convert credit into points.
"We have a huge amount to be positive about, though. I thought all our replacements made a big impact in the game. In the second half we dominated field position and gave Wasps a hard time."