The two sides had met twice in Europe during the pool stages and the Blues had won both so the Warriors were looking for revenge.
And for large parts it looked like they had left it too late before Mark Bennett's last-minute score put the Warriors in front for the first time in the match, much to Davies' disappointment.
"We were in control for parts but we didn't get what we needed to put them away," he said.
"It comes down to experience and it was really frustrating.
"We have to give credit to Glasgow for the way they came back in the second half.
"It was gut-wrenching to lose at the end."
For Glasgow boss Gregor Townsend it was his second-half replacements that deserved a lot of the credit for the turnaround.
"We were very disappointing in the first half, the replacements really lifted the pace of the game for us," he said.
"I asked the players for a reaction in the second half and I got one."
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