The 3-0 reverse at Stamford Bridge saw Chelsea lose the Champions League round 16 tie 8-2 on aggregate.
Afterwards, Rosenior conceded: "We obviously wanted to put up more of a fight than what we did.
"Credit to PSG. Their possession play was really, really top in the game and over the two legs, they deserve to go through.
"I think football is about flow and momentum, and if you give the opposition flow and momentum without them having to work so hard, they get more confident.
"So, if I look back – and I've already watched some of the game back – the first six minutes, we're in the game, we're in their half of the pitch and then they score.
"I know Mamadou (Sarr) is a great young player, and this is something you have to ride and learn from, but we make a mistake, an individual error. There's nothing tactical and (Khvicha) Kvaratskhelia, because he's a top player, scores.
"That gives them confidence, gives them a cushion and (Bradley) Barcola hits one from 25 yards into the top corner. I don't remember them having a shot either side of that.
"We have to learn at the top, top level to be clinical and to make sure we keep the back door shut. We've done neither over the two legs, that's why we're out of the competition."
Rosenior also insisted: "This is a fantastic football club where the fans want success instantly – that's rightfully so for the size of the club.
"I have to say, I understand because of the aggregate scoreline in the tie, why fans are frustrated. They want us to win; I completely get it and I understood that before I came in. I also want to make them happy and give them the nights they deserve. Not just me, but us as a group, as a team.
"That was a really, really difficult one to take because of the manner in which we went out this evening."