Last night his players should have done enough to change the course of their season but, hindered by the brilliance of PSV goalkeeper Patrick Lodewijks and their own inability to hit the target, they simply left themselves open to the visitors' sprightly
The Arsenal target will lead the summer exodus from Eindhoven and manager Erik Gerets said: 'If my players continue to play that way then maybe I'll be losing 10 players at the end of the season.'
Their small army of jubilant supporters, who danced into the bitter Yorkshire night as home fans booed, had to wait until the last minute to secure an all-Dutch quarter-final against Feyenoord. But there had been warning signs throughout a fascinating game.
Nigel Martyn had to make the save of the night to deny Mateji Kezman just before the hour and he was fortunate that defender Andre Ooijer's powerful header from Van Bommel's cross failed to hit the target.
The England keeper, who was furious with his defenders after Vennegoor's winning goal, had also saved from Theo Lucius before the break.
In fact, Martyn was helpless to stop Lucius's last-minute header which hit the bar and fell kindly for Vennegoor - Ruud van Nistelrooy's replacement - and neither Dominic Matteo nor Ian Harte could beat the Holland striker to the rebound. Matteo hit the ground near Vennegoor in frustration and at first appeared to have struck the striker in the face.
Leeds, who have now gone more than five hours without a goal, had enough chances to settle the tie and their own supporters' nerves, going close as early as the third minute when Eirik Bakke volleyed wide.
The biggest culprit was out-of-sorts Australia midfielder Harry Kewell who was unable to take advantage of the intelligent running and passing of countryman Mark Viduka.
Although the £20million-rated striker should have found the unmarked Alan Smith rather than
Kewell with his surging first-half run and cross, Kewell's desperate finish still finished among the Leeds fans.
He was guilty of a similar miss after the break from Viduka's clever lay-off. Lodewijks also saved from Smith, Lee Bowyer, Bakke and Matteo.
O'Leary added: 'We're creating chances but not scoring them. We've dried up at the wrong time but you worry when you're not creating chances. On these big occasions you have to be able to put one away.'
He will now open the inquest into his side's pitiful surrender in Premiership, FA and UEFA Cups following last night's defeat.
