Millen's View: Leicester (a) 2-1
Waghorn seized upon a Lewin Nyatanga mistake deep into stoppage time before emphatically firing past City 'keeper David James to win the game 2-1 at the Walkers Stadium.
Marvin Elliott had earlier cancelled out Yakubu's opener, as City went on to dominate the second half in the East Midlands.
The result leaves the Robins six points above the drop zone, but Millen is confident his side will have no issues with survival.
"It's a hard one to accept. Football can be a cruel game at times. Sometimes you don't deserve to lose games and this game was that scenario," he told reporters after the game.
"We had some really good play, especially in the second half, and the lads are really down. Both goals were poor from our point of view. Leicester have been on a great run and scored some great goals but both of them were scrappy and we have had chances to clear the ball.
"We can't feel sorry for ourselves and if we perform like that between now and the end of the season we will be fine."