McLeish was booed by his own fans, who mocked him with chants of 'You don't know what you're doing' after he replaced Stephen Ireland with Marc Albrighton.
But he said: "You can't fault the fans for their emotions in their enthusiastic support of their club.
"They just want to see their club winning and to lose at home is another kick in the teeth for them. It is for me as well. We need more consistency."