The Dons were cruising at half-time after Aaron Wilbraham's deflected effort and Jason Puncheon's strike, which was fumbled by keeper John Ruddy, had put them in control.
But Alex launched a second-half fightback as Mark Carrington's header and Gylfi Sigurdsson's penalty was enough to earn them a 2-2 draw.
"It was a poor start for us - very poor in fact," said Thordarson. "We basically gave them a two-goal head start and that is not good enough.
"Having said that we showed a lot of character in the second half and it was a great comeback. When you play a very good side like MK Dons, you can't afford to give things away cheaply like we did.
"The game is so hard at the moment that we can't do that against any team but what I said at half-time obviously went into the players' heads. I said that the third goal needed to be ours - if we got it we knew anything could happen and Gylfi was very calm at the end to convert the penalty."