Rovers entertained Southampton in an important clash between two clubs in the bottom six.
The hosts made one change from the side beaten at Bristol City last week, Jason Price coming in for James Hayter.
In fact Price could have scored twice in the first ten minutes, he twice had one on ones with Saints keeper Kelvin Davies but failed to convert his chances.
Southampton were forced into an early change when striker Stern John was replaced by Tomas Pekhart after only thirteen minutes.
The visitor`s best chance in the opening quarter fell to the substitute Pekhart after a mistake from Mills, Sullivan making a good save in the Rovers goal.
Rovers then carved out a fantastic headed chance for Byfield which was tipped for a corner after good work from Wellens.
Southampton then missed a really good chance on the half hour when Adam Lallana had a simple chance but somehow headed wide.
Price then had another great chance for Rovers but was denied again by Davies.
The rest of the first half was played mainly in midfield, Rovers would have been disappointed to go in at half time level.
Rovers once again conceded early in the second half for the third time in recent weeks. McGoldrick cut in and shot across goal, defender Matt Mills deflected the ball into his own net.
Worse was to come when Wellens conceded a penalty after it looked like he clearly took the ball. Andrew Surman calmly stroked the ball past Sullivan in the Rovers goal to double Southampton`s lead just short of the hour.
The home side continued to enjoy possession without any penetration in the final third of the field and there was unrest amongst the Rovers faithful.
This made Sean O`Driscoll make a couple of changes at the attacking end of the pitch with Heffernan and Hayter replacing Guy and Byfield.
Rovers continued to enjoy possession with Southampton happy to soak up the pressure and a long range effort from Stock was easily saved by Davies.
Rovers could have been dead and buried when they conceded another penalty after a foul by Sam Hird, this time Sullivan guessed correctly and dived to his left to save from Surman.
It was proving to be another one of those days in front of goal and Hayter shot just wide when presented with a good chance.
Rovers thought they had got a consolation goal in stoppage time when Price tapped in but the assistant`s flag was raised.
The final whistle blew to the disappointment of the Rovers fans, once again Rovers have enjoyed plenty of possession and chances but have failed to convert any.
The result sees Rovers drop into the bottom four and now a couple of big South Yorkshire derbies in the next week.
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