The Foxes were beaten 4-1, with Kevin Schade netting a hat-trick for the hosts.
Coady later said: "Super difficult. Difficult week. Us as players have to look at ourselves. Today wasn't good enough. Giving away too many chances. We know how good Brentford can be and we had a plan. But we have to look at ourselves because we're not good enough at the moment.
"That's where we're at. We put ourselves in a good position but we're giving away too many chances against a top quality side. There's a lot we need to put right and look at. We're excited about the manager coming in and we're excited for that. It's hard to be excited at this moment after a performance like that.
"We just want to play. The fact we have another game on Tuesday but we need to look at this. We can't just brush it aside. We'll speak as a team and make sure we put it right.
"A lot of have been here before. A lot of experience in the dressing room and we've got to pull ourselves through."