City dominated the game but couldn't find the goal that their attacking play deserved. And to rub salt in the wounds, Middlesbrough's winner came from Sun Jihai, though the City right back couldn't do a lot about it.
"It was a difficult defeat to take," admitted the City manager. "It was an incredible game of football, where do you start.
"Boro had maybe one corner, our goalkeeper hasn't had a shot to save until the 95th minute, we created chances and missed them, they haven't scored the goal and won the game!"
Keegan's side were disappointing in the last home game against Leicester, losing 3-0, but he refused to blame the players for yesterday's setback.
"There were no question marks against my players," said Keegan," the effort was good. I said let's get at Boro, let's take the game to them and let's get the crowd going - they were magnificent - and I think we did all those things."
Keegan added: "The longer it went on the more you thought it wasn't going to happen but the crowd didn't get frustrated, they got right behind us, and to be fair, the players gave the fans what they want to see in a blue shirt.
"Every one of them was tenacious, they worked hard, and they scrapped. If they did something wrong it was done so for all the right reasons.
"I was pleased with the performance. It was difficult to pick out anybody who was disappointing. One criticism was that we didn't take any of the chances that we created."
Robbie Fowler missed two late chances after coming on for Sun Jihai so he must shoulder some blame but the Blues must now look towards Wednesday's Carling Cup tie at Spurs to try and turn around a torrid month.