But Blues were buoyed by the manner of the display north of the border as they rocked highly-rated Warriors and, when Rhys Patchell slotted a second half drop goal, held the lead with 12 minutes left.
Rees, who led the team for the first time in the league, believes the character shown by Blues to fight-back from a half-time deficit will be a vital building block for the campaign ahead.
And the hooker insisted the lessons the team would now learn from the defeat would put them in a good position for the season ahead.
"Ultimately, we are frustrated because we feel it is a game we have given away," said Rees.
"We gave them 12 points in the first half and did well to come back from that. But giving that much away has cost us.
"As much as we can be pleased with the way we have played, we also lost two players to yellow cards and you can't come to a place like this and do that.
"Conditions dictated the way we had to play and we changed our game plan to suit it. There was plenty of character and you can't fault the commitment. But we want to come to places like this and win.
"We have set ourselves a challenge this year to be playing play-off rugby come the end of the season," he added.
"We can be pleased with certain aspects of the game, but discipline let us down. That's the difference and as much as we can be pleased with the way we came back it wasn't good enough in the end. But we will learn from this and be better for it."