The Saddlers headed to Valley Parade on Saturday looking to build on back-to-back victories over Coventry and Sunderland.
But a dreadful second-half performance saw Dean Keates' side thrashed by a team who began the day bottom of the League One table.
The result was particularly miserable for the 266 fans that travelled with the match played in freezing temperatures and with the rain and wind lashing down.
And Leahy, who was visibly upset by the result, slammed Walsall's display.
"It was not good enough, that second half was a shambles, it was pathetic," the defender said.
"We have got some good players in that dressing room but we were nowhere near good enough. I can't explain it. It was pathetic.
"In the first-half we created a few good chances and could have been one or two up before they scored.
"But nobody is going to remember the first-half chances. It's the second half that everyone is going to remember. And we were not good enough.
"They could have scored five or six. They had a few more chances and luckily for us they didn't put them away. It was rubbish, pathetic.
"It was nowhere near good enough, the manager has told us that and he is bang on. It was horrible conditions but we needed to step up. Bradford played in the same conditions and won 4-0."
Despite the weather, Leahy made a point of going over and clapping the Walsall fans at the end of the game.
And he said it was those travelling supporters he felt sorry for most.
"It was difficult for them to watch," he added.
"It was difficult to play in being 4-0 down but for the fans to come to Bradford, in horrible conditions, and see your players fold over like that, it's nowhere near good enough.
"The standards we have set this season, we have tried to give the fans a season to enjoy. But Bradford was embarrassing for them."