The 57-year-old was shown the door by Aston Villa less than 24 hours after a 3-3 draw at home to Preston North End.
A missed penalty by Glenn Whelan in the final minute cost both Villa and their manager dear.
Wednesday suffered their own late, late heartache just a few hours after Bruce had been dismissed, Jos Luhukay’s men letting a 2-0 lead with just five minutes remaining slip at home to West Bromwich Albion.
Had the Owls held on and kept a first clean sheet in the league this season, the south Yorkshire side would be sitting fifth in the table. As it is, they are 12th and level on points with Villa.
“We have come a long way as a team this season,” said Lees. “If you look at West Brom, it is just that last 10 per cent.
“For long periods, we played well. But it is fine margins. That is what will stop a team getting in the play-offs, if you do that more often than not.
“We are doing some good stuff. Our work-rate can’t be faulted. Without the ball, I think everyone can see we are a lot better.
“I know some people don’t like it but, with the ball, we are doing better, too. A lot of teams are trying to play like this.
“That is what the manager wants to do and what he feels gets the best out of our players. We are playing better football now.”
Asked about what until those final five minutes on Wednesday night had been arguably the Owls’ best performance of the season, Lees added: “You would be disappointed to draw against anyone when 2-0 up with a few minutes to go. Doubly disappointing against a side as good as West Brom.
“But there is nothing in the league. Nothing at all. Look at Villa, if they score that penalty (against Preston) then they are fifth. But it was missed and they are in mid-table, and Steve Bruce gets the sack. Crazy.”
Wednesday will look to make amends for the midweek collapse tomorrow at the scene of last season’s heaviest defeat.
Luhukay’s side were three goals down to Bristol City at half-time and eventually went on to lose 4-0.
Lees came off the bench at Ashton Gate for his first appearance since November due to injury and he admits the Owls have a score to settle.
“Bristol is a massive game for us,” he added. “It is definitely a winnable game. If we win, maybe it makes West Brom not so bad. But we have to learn from what happened.
“They are in a sticky little patch and will be up for it. Hopefully, I won’t be coming on at 3-0 down. They are a good team so we can’t afford to sulk about West Brom.
“It is a tough place to go but they have changed how they play. They have changed a lot of personnel, too.
“Definitely winnable. As we showed against West Brom, we can beat anyone when at it. We just need to eradicate the silly errors.”