Matt Mullan popped up after the clock had hit 80 to hand Wasps a bonus-point and ultimately a win as Jimmy Gopperth sealed a 32-30 success with the conversion.
For Saints it was more late heartbreak, having lost in the closing stages at Bath in February and at home to Leicester Tigers in their most recent home fixture.
Mallinder's men scored five tries in the Ricoh Arena sun, with Ben Foden, Alex Waller, George North, Ahsee Tuala and Teimana Harrison all dotting down.
But it wasn't to be enough as Saints shipped more than 30 points for the fourth time in their past six matches.
"I'm naturally very disappointed," Mallinder said.
"It was a good performance and we'll look back at some small incidents that make a big difference.
"You look at a lineout towards the end which we lost and Ben Foden's kick which went dead and it lost us 70, 80 metres.
"In windy conditions, Stephen Myler didn't kick as many as he normally does and all those little things add up to a narrow loss."
Mallinder was hopeful that his side would be able to shut the door on Wasps, who have now won their past 17 Premiership home matches.
But the Saints boss said: " You know Wasps can attack from anywhere.
"You've got to try to control the game in the last 10 minutes and we never really seemed to do that.
"We lost that one lineout where we had a chance to get a grip and Wasps are a good side. They've proved it all season. They're very dangerous."