Thompson said: "We're very disappointed. If you don't take your chances, you're going to get punished.
"We had a good meeting after the game, where we had a heart-to-heart.
"We discussed a lot of things we need to improve on, such as decision-making on the ball. It was a constructive discussion and we'll get back on the training ground on Thursday and try and sort things out.
"Credit to Sheffield Wednesday who did well and played to their strengths. We've got big characters in there and we've got a big game against Bolton on Saturday so we'll dust them down and make sure that we're ready for that.
"I'm sure the manager and chairman will be sitting down to try and get the squad up to strength."