Leeds suffered a 1-0 defeat to Rotherham at Elland Road in the Championship.
Joe Newell’s headed goal in the 54th minute proved to be the difference between the two teams.
Former Leeds striker Whelan was disappointed with the performance of Steve Evans’s side and told BBC Sport: “It’s such a disappointing result, especially since we had such high hopes.
“They played into Rotherham's hands. They were trying to make the game as ugly as possible and not allow Leeds to get into any flow.
“We allowed it because we didn’t get any flow. When we strung passes together we made chances but we weren’t patient and we weren’t pacey enough.”
Whelan added: “I don't understand going long every chance they get. That's exactly what Rotherham wanted.
"Against a team that's not as talented as you, you need to build patience and exploit the areas. We didn't do that.”
Leeds headed into the game high on confidence, having won their previous two Championship matches.
Over the course of the 90 minutes at Elland Road, the Whites had 60% of the possession, took 14 shots of which just three were on target, and earned nine corners.
Visitors Rotherham had 40% of the possession, took nine shots of which three were on target, and earned four corners.
Leeds are 16th in the Championship table at the moment, while Rotherham are now second from bottom.