"I am disappointed with both the result and the manner in which the result came about," Megson said after the game at Layer Road.
"In the first half we did not compete with Colchester and we looked poor.
"We didn't compete in the first half but in the second we got about them.
"We scored at the right time and had a couple of chances but we did not take them and fell to a sucker punch.
"We needed to win this game because we want to win every game but it is entirely different to the Premiership. As a manager, you have to win matches and we are not doing that at the moment.
"As a manager you're under pressure but it is up to me to pick the best team and hope they turn in a good display."