Rhinos had been bidding to complete the treble in their debut season, but were pipped 18-16 by Wigan Warriors.
Leeds hit back from 16-6 down to level the scores in stoppage time, but Wigan won it with a penalty goal in the final seconds.
It was only Rhinos’ third defeat of a season in which they won the Challenge Cup and finished top of the table a point ahead of second-placed Wigan.
But Cuthbertson conceded: “We shot ourselves in the foot for 65 minutes. Then we started to play the way we know how to play in the last 15 minutes, but it just wasn’t enough.
“Wigan made the most of their field position, that’s for sure and we didn’t counter-attack well enough. I think we’ve learned a valuable lesson and it’s something we can learn from and move forward from.
“To have been so close and to get beaten by a penalty goal in the 79th minute, those kind of games that go right down to the wire are great for the game.”
The winning penalty came when Leeds were caught offside in front of their posts. Cuthbertson said: “That was the only penalty for offside throughout the whole game.
“For that to decide the game, it’s disappointing, but in saying that I think Wigan were just better than us. We didn’t execute as well as we’d like to, it could have been nerves or the conditions, but we will be better for it.”
Both Rhinos and Wigan are new teams and Cuthbertson believes the involvement of rugby league’s two biggest clubs has taken the women’s version to a new level.
“We have achieved a lot this year,” he said. “It has been brilliant and just to get the game up and running as Leeds Rhinos women’s team is an achievement in its own right.
“To grow it and see how it has become established in Leeds has been really encouraging. Women’s Super League has grown again this year. Last year teams were getting battered every week by big margins by a very good Bradford team, but this is how it should be played – it should be right down to the 80th minute. We’ve seen that for a number of weeks now and it’s great for the women’s game.”