They lost their quarter-final tie 36-4 in Salford having been 26-0 down at half-time.
Hull’s ball control was desperately poor and Wigan - who now face Leeds Rhinos on October 3 for a place at Wembley - capitalised handsomely.
Last said: “We just didn’t give a good account of ourselves.
“I just feel this team lack that belief against the top-four teams.
“Against Warrington (37-12 loss) we waited to see what Warrington team turned up before applying ourselves.
“We were a bit in awe here (of Wigan). That first 20 minutes came and went and we were 16-0 down.
“We need to go impose ourselves on the game and play our way. We didn’t do that and it’s been evident against Warrington and Wigan.”
Hull were a pale shadow of the side that battled past Castleford Tigers last Sunday to set up this tie.
“We spoke about starting the game well and getting into set for set stuff completing, kicking well, doing what we did against Cas,” added Last.
“Unfortunately we didn’t do that and there was too many unforced errors coming out of yardage.
“It’s our Achilles' heel and Wigan really, really hurt us.
“They punished us and the one time we got into good ball we gave away a seven tackle set.
“We didn’t put any sort of pressure and it really gasses you.”
He admitted they missed the leadership of veteran forward Gareth Ellis who was not risked due to a slight knock.
Hull are back in action against Salford Red Devils in Super League on Thursday.
Meanwhile, Salford face Warrington in the other Challenge Cup semi-final, Wolves having edged past St Helens 20-18 earlier today.