Rovers were much the better side in the first half of their trip to Gillingham and had golden opportunities to take the lead.
But they could not prevent the Gills from building a head of steam in the second half, with their fellow strugglers securing the win courtesy of a late Vadaine Oliver header from a corner.
It was a seventh straight away defeat for Rovers, who now sit six points off safety in League One.
“We need to grow up,” Wellens said.
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“We need to know that is a really good performance but we cannot get beat.
“That performance should not see us get beat. We should take a minimum of a point and I think we deserved it.
“It’s so frustrating because what happens now is we’re putting more pressure on the games coming up.
“If we play like that in the last 34 games then I’ll be happy.
“But what you can’t control is how people take chances when they get into areas.
“Probably the biggest thing is if we score when we’re on top, we can frustrate them more and make the game easier.
“If you don’t take your chances at any level, and you see the wind and the conditions, they’re going to throw the ball in the box and they’re going to have a spell.”
Kyle Knoyle missed a glorious chance for Rovers in a first half which they largely controlled through good possession.
But they lost that control after the break, with Gillingham benefiting in a more scrappy affair.
Wellens said: “I’m disappointed with the result but I thought the performance was very, very good.
“I think first half we totally dominated the game and we had easily the best chance through Kyle.
“You know they are going to have a spell. When you play teams like this it’s all about momentum.
“For a ten minute spell we gave them too many cheap corners, too many long throws and they gathered momentum and they’ve scored from a set play.
“The performance was very good and we can take a lot of heart from that but we need more than that. We need to start picking up points.”