Wigan defender Antolin Alcaraz scored with a header three minutes from time to end Blackburn's 11-year stay in the Premier League after a dismal season in which they have won just eight of their 37 league matches under manager Steve Kean.
"It is difficult to put into words what the atmosphere is like in the dressing room," Kean told reporters.
"A few things were thrown our way in the media last week, questioning our attitude, but I felt tonight we gave it a real good go.
"The disappointing thing is we couldn't take it to the last game. I will sit down with the owners and discuss a plan on how to assemble a squad to help us bounce back up."
Rovers, champions in 1995, joined Wolverhampton Wanderers in dropping to the championship as Wigan climbed to 15th in the standings, securing their top-flight status with one game left following a superb late run including wins over champions Manchester United and Arsenal.
"It doesn't seem real yet," Wigan manager Roberto Martinez told Sky Sports. "Is a great feeling. It was a difficult game, you could feel the tension and it was a cagey affair. But staying up is an incredible achievement."
Bolton Wanderers or Queens Park Rangers will join Wolves and Blackburn in the championship next season.
Bolton, two points behind QPR, must beat Stoke City on Sunday to have any chance of survival and Rangers need a point at Premier League leaders Manchester City to guarantee staying up.