United led twice through young striker Rasmus Hojlund, but goals from Wilfried Zaha, Kerem Akturkoglu and Mauro Icardi, having missed a penalty, saw Gala triumph. Casemiro also saw red in the second-half.
Ten Hag said: "The mental errors we make, you cannot allow them at this level. You get punished. This is difficult to control. We are all in this together. We were twice up and in control of the game. We expect more together.
“It's not easy to score goals in this [Champions] League so you have to be more focused and co-operate, so you don't concede goals so quickly [after scoring]. But it's also about keeping the ball and keeping control in the game, and we have to improve in that fact.
“Everything is open. There are still four games to go and we have a double [game] with Copenhagen. Every game is tough but we know what to do. We know what our demand is there: to stay in this group and to keep our positions open for going through."
On Hojlund's two goals, he added: "Rasmus scored two great goals. We're happy with that but of course but we didn't win the game. He can be really happy with his goals."