North End's first two goals at the Keepmoat came from set-pieces, with a deflected David Cotterill free-kick bringing Rovers level in between.
The visitors made sure of all three points midway through the second half with a swift counter-attack.
"It was a bad day at the office - two corner kicks have done for us," said Saunders. "You can play all the football you like, but if you can't defend at set-pieces you won't win games. A couple of players failed to do their marking jobs correctly and it's cost us because we created enough chances to win the game.
"The second and third goals killed us because we were on top in the second half although we didn't score. They got blocks in when they had to and we didn't take our chances.
"They didn't really have a chance in open play apart from the third goal and we just have to defend better. It's something we have to work on, roll our sleeves up and try and beat Shrewsbury on Saturday to put it right."