18 May, 15:44
It's down to the wire now for the five contenders who have been shortlisted for the ultimate individual accolade in northern hemisphere rugby, ERC European Player of the Year 2013.
The home side conceded three early tries, but full-back Mark Van Gisbergen's 26-point haul put them back in contention.
But as the final whistle was put to the lips of referee Nigel Williams, Leicester had registered a 37-31 victory, thanks to outside-half Andy Goode's late penalty and drop goal.
Wasps are still top of Pool One, but two of their last three Group games are away from home, starting with next Sunday's Welford Road return.
"If we lose next week, then we are struggling," said Wasps rugby director Gatland.
"But we don't want to give this trophy away. We worked so hard to win it last season, we will go down fighting."
Gatland conceded that Wasps will need to hugely improve their scrummaging effort after being demolished in that set-piece battle by Leicester's England props Graham Rowntree and man-of-the-match Julian White.
"We have got to get our scrum right next week, it is the biggest cause for concern, and we will have a big week working on that," Gatland added.
"Obviously, we are disappointed, but there are no complaints about the result. If you concede three tries early on, then you probably don't deserve to win.
"These are two very evenly matched teams, and we finished the game pretty strongly. If we can get a result next week, then the group could all come down to the last weekend of games in January."
Wasps hooker Phil Greening looks likely to miss the trip to Leicester after suffering a knee injury, while scrum-half Matt Dawson suffered calf muscle tightness during the game and will be assessed by Wasps' medical staff.