The visitors – backed by a magnificent away support of 2300 in a bumper Rugby Park crowd of 11,500 – led 1-0 for a long time thanks to James Craigen’s ninth minute strike.
But Killie defender Ash Taylor stabbed home a 78th minute equaliser before Blair Alston’s 89th minute winner clinched a 2-1 victory for the hosts.
“I was very disappointed,” Campbell told the Angus County Press. “For 70 or 80 minutes we’ve done everything we wanted.
"We’d put so much into the game.
"Maybe I should have done more than what I did.
“I blame myself. I can’t blame my players.
"Kilmarnock scored in 90 minutes which is a very, very severe blow to us.
"A draw would have done us great but I’m afraid that’s football.
"I’m just absolutely gutted for everybody connected with our club.”
Trailing Killie by four points with just one league game remaining this season, it is now impossible for the second placed Lichties to catch the Ayrshire side.
However, Arbroath still have a chance of sealing promotion to the Scottish Premiership via the play-offs.
They will take on the winners of a two-legged tie between third placed Inverness Caledonian Thistle and the team which finishes fourth in the Championship – which is heavily odds on to be Partick Thistle – over two legs.
Whoever comes through that will face the second bottom team in the Premiership – currently St Johnstone with four games to play – over two legs for a place in Scotland’s top flight next term.
Arbroath play their final Championship game of the season at home to Greenock Morton this Friday night with kick-off at 7.45pm.
"I have a problem,” Campbell said. “Do I play all the ones that are needing a game or do I rest all my so called good players for the play-offs? I’ve got all that to decide.
"At the moment I’m thinking it would be stupid to play my full team and they get injured or sent off and I miss my good players in the play-offs.
"Because the result against Morton is of absolutely no importance.
"We’ve secured second place a fortnight ago.
"We were in the play-offs in March. I couldn’t care less who we get.
"No matter what happens it’s the best season Arbroath’s ever had.
"I’m very optimistic. I’m not a doom and gloom guy.
"I’m a wee bit empty the last two or three days. I’ve never felt so empty in all the years I’ve been doing it.
"I just felt, what a chance we had. Let’s get on with it and have a go.
"I want to get up to the Premier for the club and the fans. It won’t be for lack of effort.
"We don’t have the option of going full-time. We couldn’t afford it, we haven’t got the training facilities, we haven’t got anything.”