Democrats failed to gloat about healthy state of the economy and jobs, and instead got mired down on "culture war" issues that failed to inspire people. They should have ran a campaign based on "Republicans will shut down the government and get us downgraded again" to get people out rather than "the war on the women!!!" shtick that so many of them seemed to be on.
Look at the exit polls - Democrats won voters who were satisfied with the state of the economy; Republicans won voters who thought the economy was doing poorly by larger margins than Democrats won those who thought it's doing well.
How do you say the economy is doing well without sounding insensitive? How do you say it's doing poorly without shooting yourself in the foot?
Unfortunately we've got this bizarre coalition arrangement where the Democrats have the non-white poor and a smattering of wealthy "creative class" types, and the Republicans have white Middle Americans who are less wealthy now than they were 15 years ago along with wealthy non-professional business owners and elderly voters who simultaneously depend on the welfare state to survive while demanding it be pared back for everyone except them. Producing coherent messaging for all those people while also persuading the few swing voters there are left is next to impossible.