The Hornets held a two goal advantage with just four minutes of the first-half remaining before two quick goals from Yerry Mina sent the sides in level at the break.
Despite the visitors having Fabian Delph sent off, they were still able to snatch all three points with a last minute goal from Theo Walcott.
“The manager said a few words and everyone was really down," Welbeck said in an interview for the club's Youtube channel.
“We need to look at it, analyse it and see where we went wrong. We've got to learn form these mistakes and make sure it doesn't happen again. These unfortunate moments happen. You go through so many ups and downs in life and you just want to try and keep them to a minimum. We'll come back stronger.
“I've just wanted to be on the pitch doing what I can to help the boys and help the club get the results that we want. It's difficult watching from the sidelines. I'm happy to be back involved and to try and make some impact for the team.
“It's difficult having been out through injury. It's great to get back out on the pitch, it's a good moment for me, but it's a bittersweet day. I'm buzzing to be back out on the pitch and back involved with the lads, but the result is not something you can be happy about."