I was very annoyed and let down at first but then done a bit of research.
They were overwhelmed by the large numbers and the tactic theat the sons of the harpy used. Also for all we know the Sons of the Harpy could be highly skilled mercenarys. Also the unsullied are known to be great soldiers on the battle field they are not famed for fighting close quaters. The sons of harpy were clever in attacking them in closed spaces like alley ways and in brothels.
From the book:
Dany settled on her bench and wrapped her pelt about her shoulders once again. “The Unsullied are my finest warriors.”
“Soldiers, not warriors, if it please Your Grace. They were made for the battlefield, to stand shoulder to shoulder behind their shields with their spears thrust out before them. Their training teaches them to obey, fearlessly, perfectly, without thought or hesitation … not to unravel secrets or ask questions.”
-A Song of Ice and Fire: Book 5 - A Dance With Dragons, Chapter Two (Daenerys I).