Veiga was at fault for Newcastle's opening goal on the night.
"We managed it well but then we had that period of ten minutes with the two goals where we couldn’t keep our balance," Veiga told chelseafc.com.
"The first goal was unfortunate, foul or no foul, we had no VAR. The second goal we can’t concede after the first goal. It’s important to keep our balance and as the coach said at half-time, not to concede a goal in that way from a free-kick. But it is what it is. We had our chances.
"It was a good game from our side. We will keep the positives and learn from the negatives. We had the game, we followed the plan, and that’s football. That’s why it’s the beautiful game, because it’s unpredictable.
"We have to take our chances and we will do better. We focus on what we can control. We focus on the Premier League, we focus on the Conference League and we move on."
Veiga also said: "We’re Chelsea, we go into every game to win, and we move on.
"Nothing changes, we just lost a game, we got knocked out, that’s part of football, and we move on and focus on the positives, above all."