Tafsir of Al-Anbiya' 21:14

(They said) when they despaired of salvation through flight and became certain that the punishment had overtaken them: (Woe unto us!) meaning, O our destruction! (Indeed, we were wrongdoers) by [rejecting] the signs of Allah Almighty, thus deserving of the punishment. This is an admission of wrongdoing on their part, acknowledging that it entails punishment, and an expression of remorse at a time when it is of no benefit to them.

It has been said, regarding the aforementioned interpretation, that this remorse and admission occurred when the swords seized them, and a caller from heaven cried out: "O for the blood of the prophets!"