The 25-year-old Senegal international made the comments following the Hammers’ 2-2 draw with Tottenham Hotspur at White Hart Lane on Sunday.
Sam Allardyce’s side were leading the Premier League clash 2-0 until the final minutes when Spurs scored twice.
Danny Rose halved the deficit from long range in the 81st minute, and then in the sixth minute of injury time England Under-21 international striker Harry Kane scored the equaliser.
This is the second time this month that West Ham have conceded a late equaliser in the Premier League.
The London outfit were leading 1-0 against Manchester United at the Boleyn Ground until injury time when Netherlands internatonal midfielder Daley Blind made it 1-1.
Sakho has rued both the late goals and has stressed the importance of not conceding in the final minutes of matches.
"It's difficult to take, particularly because that's the second time [it's happened], against Manchester United as well it was the same,” the former Metz star told West Ham’s official website.
“We lead until the last minute and then conceded. It's becoming a habit! Now it's for us to rid ourselves of it and manage the game, as a group, until the end.”
West Ham are currently eighth in the Premier League table with 39 points from 26 matches, eight points behind fourth-placed Manchester United.
Had the Hammers not conceded late goals against the Red Devils and against Spurs, then they would have been closer to the top four.
If West Ham fail to qualify for Europe next season, then these are the games they will be looking back on with regret.