Kanchelskis believes the fault came with overly defensive tactics designed to secure a draw.
"Russia should have played for the victory. I've seen it many times - the team is leading 1-0 and thinks it's safe but then loses the match.
"Belgium needed a win. That's why they were running all the time. Russia played defensively and conceded goals."
Kanchelskis defended the performances of the Russian players, most notably goalkeeper Ruslan Nigmatullin.
"I think that the managers were wrong when they put different players on the pitch during the three group games.
"It's vital that the same players play together throughout a tournament.
"The first goal, from the free-kick, was absolutely impossible for Nigmatullin to stop and the defence were to blame for the second.
"The third was a deflection and Nigmatullin was already moving one way while the ball went the other."
Kanchelskis now believes the team's future depends on who takes over as coach following Romantsev's decision to quit the post.
"It's wrong when one person is in charge of the national team, and at the same time is the president and coach of Spartak Moscow," he said of Romantsev.
"The head coach should travel a lot, and he doesn't.
"And I don't think a foreign coach is what Russia needs - he just wouldn't understand our way of life or country.
"They need to sit down and think who is good for Russia."