The Trotters missed a chance to pull clear of the Barclays Premier League relegation zone as they slumped 3-0 to the Clint Dempsey-inspired Londoners at the Reebok Stadium. Results elsewhere meant they stayed outside the bottom three but Coyle felt his side, after winning their three previous games, had spurned a good opportunity for more points.
Coyle, who takes his side to Newcastle on Monday, said: "We under-achieved and let ourselves down, no doubt about it. It is a setback and of course we are disappointed, particularly at home. Our home form had been very good of late and we were looking to capitalise on that. We now have to play again on Monday and we have to get ourselves up for that."
He continued: "It is not a nice feeling as we were coming into the game after three straight wins, we were at home and looking to open up a gap in that area of the league we are in. But it has happened to us before - we have to pick ourselves up and prepare to go again. That is what we will look to do."
Bolton paid the price for a lacklustre first-half display as Dempsey struck twice with a superb free-kick and a firm header. Mahamadou Diarra ended the game as a contest 10 minutes from time as he finished off a Fulham counter-attack by turning in a John Arne Riise cross.
Coyle did take some consolation from the failures of relegation rivals Wigan, Blackburn and Wolves to win.
He said: "It's been similar to previous weeks when teams have won and we have won. That's why it's such an intriguing league. I have said before that it will go right to the wire, both at the top and bottom. That is why it is the best league in the world and we have not done ourselves justice in that league here.
"The fans came in huge numbers again and I feel for them because they deserved a better performance than we delivered."
Bolton have a quicker Easter turnaround than some of the other struggling sides with Blackburn not playing again until Tuesday and Wigan and Wolves only back in action on Wednesday. QPR have Sunday and Wednesday fixtures.
Coyle said: "We have the task of playing on Monday as opposed to everyone else who has got a couple of extra days to rest, but it is what it is. We go to Newcastle and look to get a positive result, which can be achieved."