The Saddlers ended 2017 with a whimper on Saturday as Paul Warne's side ran out 2-1 winners at the Banks's Stadium.
After the game, Walsall boss Jon Whitney questioned his players following some poor defending for each of the Miller's goals.
And having received a strong post-match team talk, Leahy felt his manager had every right to be angry.
"The gaffer had every right to be angry and say what he said," the full-back said.
"We were very disappointed. Our effort and determination was questioned and that hurts.
"You don’t have to be the best team in the world, but if you have got effort and determination it can take you a long way.
"Now it’s a New Year’s Day trip to Plymouth and we owe the fans a response.
"We owe it to the fans, to ourselves and to the manager after the performance against Rotherham.
"Come 5’oclock on Monday we need to be talking about three points for Walsall."
Despite sitting just one place outside the relegation zone, The Pilgrims enter today's game on a five match unbeaten run.
Derek Adams's side managed to avoid defeat in all five of their matches in League One throughout December. And Leahy knows Walsall are in for a tough game.
"We beat Plymouth at home 2-1 earlier in the season which was a very tough game," the former Falkirk man said.
"And I’m expecting that away from home.
"Our results over the festive period haven’t been the best but all it take is that two, three game winning run to push you right up the table.
"Plymouth are looking up the table. We are looking up the table as well.
"But we have to put a few results together to stop up from looking down the table."
While the Plymouth match has arrived just 48 hours after the defeat to Rotherham, Leahy said all Walsall's players have done everything they can to be in the best possible shape for the game.
"As soon as the gaffer’s team talk was done we started preparing for Plymouth," he added.
"We have recovered properly. We travelled down on Sunday. Our mindset is right.
"The only good thing about Rotherham was that we have another game just two days later."