Magnus Okuonghae cancelled out Max Power's early opener but then it was all Rovers, with Jean-Louis Akpa Akpro, Ash Taylor and Cole Stockton scoring before Michael O'Halloran netted from the spot.
The U's are three points adrift of safety in the relegation zone following their heaviest home defeat of the season.
Dunne said: "It was very disappointing for us but we have to respond.
"The goals we gave away were very poor and we were second best all over the pitch. We didn't deserve to get anything out of the game.
"Tranmere's first goal was a cracking goal but our equaliser got us back in the game.
"I thought we were okay at that point but a poor defensive mix-up cost us, because it was a basic error.
"The timing of the goal really hurt us and put us in a difficult situation.
"It was a collapse in the second half and I've told my players what I think of it.
"We can't make the mistakes we made defensively and not expect to get punished.
"We have a young changing room in there and there are a few of us who have lost 5-1 in there before but we have to respond - we can't get downhearted."
