The game looked poised as it neared the final 10 minutes, with Saints seemingly taking an attacking foothold in the game.
However, Wolves’ Ivan Cavaleiro netted on 79 minutes - just two minutes after being brought onto the pitch as a substitute.
Jonny Otto then doubled Wolves’ lead in the dying minutes.
Southampton appeared comfortable, but the midfield and defence folded once again as the going got tough.
Now, after late collapses against Wolves, Leicester City and Brighton, Vestergaard is calling on himself and his teammates to improve on their defending in key moments.
“I think we were on top in the second half, dominating possession in their half, but in the key moments we are not defending well enough – as a team or as individuals,” Vestergaard said per the OS. “That hurt us a lot today.
“We started off a little behind, but we fought back into the game and had some good periods in the first half too.
“I think it was an even game so the first goal was always going to have a very good chance of winning it, especially closing in on the 90 minutes.
“The first goal would’ve been very important for us as well, but we weren’t as effective at both ends.
“We need to get better at winning games. We can’t just pat ourselves on the back and say we’re going in the right direction.
“We can take positives out of this game and say we were dominant in the second half, but it’s not going to give you points if you don’t win.
“We have to be better with the chances we create, but obviously it’s easier to win with a clean sheet and we haven’t been doing that in the last few weeks.”