McAnuff told BBC Berkshire: "It's devastating really - it's been a long season and to fall at the last hurdle is pretty tough to take really.
"I think everything we could do wrong, we did."
Brian McDermott's side came close to levelling the match after early second-half goals from Noel Hunt and Matt Mills.
Midfielder Jem Karacan struck the Swansea post shortly after, and McAnuff believes had that shot gone in, the Royals were on course to win the game.
"You're talking about a couple of inches - if it goes the other side of the post it would have been very interesting. I don't think it was meant to be," he continued.
"We knew it wasn't what we were about and we knew we had to get going in the second-half," McAnuff added. "We managed to do that but it was probably a bit too late by then.
"We just said at half-time it's not really talking about getting four goals to win. It was just about trying to get one to get back into the game."
Source: BBC Sport
Source: BBC Sport