A goalless draw at Stoke City was not enough to save the Foxes, as Southampton won 3-2 at home to Sheffield United to escape the drop.
Holloway admitted: "It's a devastating day for all of us. Too many times this season we haven't done it, we haven't scored and the table doesn't lie.
"Our character needs to be looked at, the overall team and squad. The fans have known it, but we've let everyone down.
"We have to hold our hands up, we were the ones with the responsibility and couldn't deal with it.
"We'll have to wait and see how it pans out, but the overall season has been a disaster and it's culminated in this."