Campbell was one of the team's best performers and he said: "We had some chances to finish it or get it back but it didn't really go our way.
"It's not a happy dressing room because we let ourselves down a little bit."
England keeper Paul Robinson has faced doubts over his form in the last few months and he could only parry Alexei Berezutsky's shot and allow Roman Pavluchenko to stab in the winner.
"I just parried it and maybe didn't get enough on it," he said. "I was unlucky not to get the second one."
He added: "We've got to pick ourselves up and deal with what we are left with. It seems like a kick in the teeth. It's difficult to take."
"It was a good goal but we are all devastated at the final result," he said.
"We all worked hard and defended well but two lapses in concentration cost us the game.
"A few people have said the challenge was outside the area but that is irrelevant now, the referee has given the penalty."