Tries from Fraser Dingwall and Tom James helped the black, green and gold bounce back from going 14-0 down early on.
And Nick Isiekwe's second-half score ensured hope remained for much of the second half before Leinster closed out a 35-19 success at the RDS Arena.
It meant Saints had lost their 12th successive game in all competitions.
And they will now be desperate to end that barren run in the Gallagher Premiership in the weeks to come.
Chris Boyd's side welcome Worcester Warriors to Franklin's Gardens on Boxing Day before travelling to London Irish for the first game of the new year.
And an East Midlands derby against Leicester Tigers at the Gardens will follow before European competition returns in mid-January.
But first up it's that big battle with Worcester.
And Waller said: "It was disappointing to lose (at Leinster) but there are a lot of positives that can come out of that.
"The game was scrappy and at times we were our own worst enemy but there's a lot of positives in the way we played.
"We're looking forward to carrying it into the Premiership and it's onwards and upwards."
Waller made his 50th appearance in the European top-flight for Saints as he skippered them against Leinster.
And he says he and his team ignored any pre-match suggestions that their much-changed team wouldn't compete with Leinster.
"We don't listen to anything outside of the group so we've not really taken any notice of it," Waller said.