Put into bat, the Tuskers were restricted to 132 for seven but the total proved to be out of the reach of Knight Riders who conceded a six-run loss after managing 126 for nine in 20 overs.
Blaming their batters, especially the middle-order, for the defeat, Gambhir said: "It was a complete batting failure.
The wicket was much better and we could have chased easily.
"Our middle order is not tested yet and I am sure this will serve a good wake up call for them. It''s not going to be one person''s day every day. Someone needs to put his hands up say it''s my day and take the team forward.
"We bat really deep. We got a lot of depth. We got great finishers like Yusuf (Pathan), (Eoin) Morgan. They need to put their hands up at some point and say this is our job. Hope they do well in next games. everybody has their role," he added.
In Knight Riders line-up, Manoj Tiwary batted fluently for his 46 from 51 balls (2x4, 2x6) but he could not take the team home.
"He is in good nick. He always had the talent. Hopefully he wins the game for his team which is more important. If he wins the game for the side he will end up playing for India.
He has all the talent and the skill. Right now it''s all about KKR, he should be aiming to finish the game for KKR," he said.
Gambhir said they have a lot of positives to look forward to as they have played well in the tournament so far.
"It was just one bad day to be honest. We have won three games in a row and we can take a lot of positives out of it.
It's not that we will be lacking in confidence. We have done reasonably well so far," he said. .