The Eredivisie side were undone by Croatian side NK Osijek on Thursday night, where Borna Barisic netted the only goal of the game via a 57th minute penalty.
Speaking to the NOS after the home tie that they dominated for large periods, De Jong admitted to not knowing how PSV did not win the match.
He said: “After the game we were unable to fathom how we lost the match tonight. We knew that NK Osijek would wait for us to make an error and we did but this type of result must not happen. We have a chance to put this right in Croatia next week.
“If you analyse the game where were in their half 80 / 90 percent of the time but we did not create too many chances or score any goals. We must be more varied in our attacking play. We played against a compact team tonight and it is difficult to beat such a team 3 or 4 nil.
”We have made things difficult for ourselves next week. We have to pick ourselves up.”
Midfielder Propper, who started on the bench before a late introduction, added: “We were not good enough tonight. NK Osijek gambled on us making an error which we did and before that we were far too sluggish in our play.
”We have to put this right. I was frustrated to be starting on the bench tonight. But we also have four good midfielders. When I came on a substitute 15 minutes from time we were 1-0 down and I was trying to help force the issue but it didn’t happen.
”We have the return leg next week in Croatia and if we can reach our expected level we should be able to win that game.