Cox took Auburn on a nine-play, 83-yard drive to take a 24-23 lead, capped off by a three-yard touchdown strike to Rod Smith with 3:21 to play.
"I was pretty confident in our defense, and our defense played a heck of a game," Cox said of the collapse. "They were the reason we've won as many games as we have this year. They had a slip-up, but they had gotten us to this point so far."
It was Auburn's first points of the second half after scoring 17 in the first 30 minutes to hold a 10-point advantage at halftime.
"They were going to stop the run by bringing guys down in the box," he said of the lack of production in the third quarter. "They made some adjustments at halftime that worked, and we weren't able to get our running game going like we did the first half."
Auburn had just 40 yards rushing in the second half.
Auburn started the season just 1-2, but had appeared to turn the corner with four consecutive wins and be headed for a magical season. Everything changed in the matter of three minutes and 21 seconds. A win would have put the Tigers in the driver's seat in the SEC West race, but the loss now puts the other Tigers, along with Alabama, leading the division.
"We were in control of what was going to happen, but losing this game, we're going to have to have some help," Cox explained. "It's still possible. We're still playing for it. A lot of things can happen between now and the end of the season.
"We've got to come out tomorrow and go back on the field, work the soreness out, watch the film of this game and put it behind us. When we come back out on Tuesday we've got to forget about it. We (seniors) have just got to make sure they understand that."
For the Auburn seniors, they had won at least once in every single SEC stadium they had been to except for LSU. Vanderbilt is the only other opponent they hadn't beaten on the road, but only because they haven't played in Nashville since 2003.
The heart-breaking loss to LSU snapped an eight game SEC road winning-streak for Auburn, dating back to the 20-17 overtime loss in Baton Rouge in 2005.
"We played with them the whole game," Cox said. "We're as good of a team as they are, and they're one of the top teams in the nation. We played with them the whole time. It proves we've got a good team.
"We go back out there tomorrow, watch the film and put it behind us. Go ahead and move on to next week."
Auburn plays Ole Miss at home next Saturday at 5 p.m.
Cox finished the game 18-28 passing for 199 yards and two touchdowns without a pick. He also rushed for 12 net yards.