Lee Jae-Sung scored a brace after Leandro Barreiro had opened the scoring to hammer Dortmund 3-0.
Terzic's side had the opportunity to sink Mainz into the relegation zone but Mainz climbed up to 15th place, two points clear of the relegation playoff spot they previously occupied.
Terzic had said he wanted his team, in fifth place, to maintain their intensity levels after Tuesday's 2-0 aggregate win over Paris St Germain set them up for the June 1 final of Europe's top club competition against Real Madrid.
"Let's let Paris be Paris and talk about last week and this week," Terzic told reporters. "We were the team that were always late to the ball and always losing out in the tackles.
"That's why it was a deserved defeat. Mainz fought for every inch, didn't give us any peace in possession, whereas we did.
"We demonstrated that we could play really good and mature football, but we didn't prove it regardless of the opponent, competition, weekday and stadium and this is what makes me angry...
"There's so much inside of us and we can't get it onto the pitch every time."
Dortmund's fifth position has secured their Champions League participation next season. They host bottom side Darmstadt 98 in their last league game next weekend.
