Former Manchester United team-mate Steve Bruce made seven changes to his team as he tried to balance the demands of the cup with the desperate fight for Barclays Premier League survival.
But the Latics, who leapfrogged the Black Cats to jump out of the relegation zone in midweek, won at a canter to deepen the sense of foreboding on Wearside.
Keane found himself confronted by angry jeers from those who remained from a crowd of just 20,821 on the final whistle, and he had no argument with them.
He said: "A Sunderland fan said towards the dug-out 'You should be ashamed of yourselves', and I couldn't argue with that. I am pretty ashamed today, I have to say.
"They were shouting it at me and I take that on board. I am ashamed today, very ashamed.
"Sunderland losing 3-0 at home in the cup to Wigan is very hard to take.
"Our fans have been fantastic and I can understand their feelings.
"Our fans are quite intelligent and they are saying 'You should be ashamed of yourselves', and I felt like saying, 'You are spot on'."
Keane also made changes, but most of the five were enforced with Dwight Yorke suspended and Kenwyne Jones and Danny Higginbotham among the injured.
But even with loan signing Jonny Evans back on board, the Black Cats were woefully disorganised at the back to hand the visitors victory on a plate.
Just who was supposed to pick up central defender Paul Scharner as Josip Skoko curled a 19th-minute free-kick into the penalty area was a topic for debate in the aftermath, but the Austrian made no mistake when presented with a free header.
The home side's efforts to drag themselves back into the contest were further damaged 11 minutes after the restart when, in his attempt to atone for Evans' woeful back-pass, Paul McShane blasted into his own net.
Substitute David Cotterill made sure 14 minutes from time with a sweetly-struck drive, and goalkeeper Craig Gordon prevented further embarrassment at the death when he tipped Michael Brown's shot on to the post.
Keane said: "It was a game we wanted to win. I know there have been lots of comments about the FA Cup this week, but it is a major disappointment, I have to say.
"For us to lose 3-0 at home to Wigan, it is not nice. The three goals we conceded today were not good enough, really."
Bruce was understandably delighted as his side continued its promising run under his charge.
He said: "It is very enjoyable to come and win a game any time against quality opposition, a big Premier League team. It was very nice."