Wasps face a quickfire return with Clermont Auvergne at Adams Park, and it is a game Dallaglio’s men cannot afford to lose in the quest to qualify from Pool Five.
The 37-27 setback saw the Londoners slip from first to third behind Munster and Clermont.
It was Wasps’ heaviest Heineken Cup loss since Stade Francais crushed them 31-0 in 2002, and a first tournament reversal in 10 games stretching back 13 months.
Skipper Dallaglio said: “This is a really tough pool, and I am disappointed we didn’t manage to pick up a bonus point.
“But now we have to do the business at home next week.”
Wasps were finished off by a contentious Mario Ledesma try, awarded by Irish TMO David McHugh, despite his grounding of the ball seeming inconclusive.
But Dallaglio added: “What I think about the Ledesma try is irrelevant, but it goes both ways.
“Sometimes you get those decisions and sometimes it goes to the opposition. I was more disappointed with the way we gave away first-half tries.
“Now, it sets up the match next week nicely, and it will be a real contest.”
Clermont, fired by 22 points from the metromonic boot of Australian outside-half Brock James, scored a last-minute try through captain Aurelien Rougerie to deny Wasps a losing bonus point.
The French team scored two other tries through Julien Malzieu and Argentinian hooker Ledesma, while Wasps’ man-of-the-match James Haskell notched up a brace with prop Tim Payne also getting on the scoresheet.
Feted playmaker Dan Cipriani also kicked 12 points, but Clermont built on their 20-10 half-time lead and Rougerie’s late try was the icing on the cake in a hard-fought game.
“We had nothing to lose and everything to gain in this first game against them,” said Rougerie. “It was a great test but we knew that we were capable of doing it.
“We want to carry on. We have to work to achieve something in this very tight pool.”
Floch, Rougerie, Joubert, Canale, Malzieu, James, Mignoni, Emmanuelli, Ledesma, Scelzo, Cudmore, Privat, Bonnaire, Broomhall, Vermeulen.
King for Floch (61), Baby for Canale (34), Domingo for Ledesma (56), Lozupone for Privat (77), Audebert for Broomhall (38).
van Gisbergen, Sackey, Waters, Flutey, Voyce, Cipriani, Reddan, Payne, Ibanez, Vickery, Shaw, Skivington, Hart, Haskell, Dallaglio.
Lewsey for Sackey (60).
Alan Lewis (Ireland).