Jose Baxter, Stefan Scougall and Jamie Murphy all echoed the same sentiment that they would never forget scoring at Wembley in an FA Cup semi-final, but insisted the goals would have been more memorable if the Blades had progressed to the final.
Baxter, who opened the scoring in the 19th minute, dedicated his goal to the 96 Liverpool fans who lost their lives at Hillsborough in 1989.
He remarked: "It was a special moment to score at Wembley on a such a big stage and it was even more special personally because of the 25th anniversary of the Hillsborough disaster.
"It was always in my mind what I would do if I was fortunate enough to score and thankfully I got that opportunity.
"I just wish in the end that it would have counted for more, but we certainly gave everything and ran Hull very close."
Scougall, who fired the Blades back in front just moments of Yannack Sagbo had levelled for Hull, added: "I said pre-match that it would be a dream come true to play at Wembley in an FA Cup semi-final, so scoring to mark the occasion will be a memory that I will never forget, but I would have swapped scoring for winning.
"I thought we were excellent in the first-half and thoroughly deserved our lead, but unfortunately Hull showed a bit of Premiership ability after half-time and we didn't handle them as well as we could have."
Murphy, a constant threat to the Premiership outfit throughout, deserved his late goal that gave the Blades hopes of mounting a late comeback, prior to David Meyler settling the contest with the last meaningful kick in anger.
The Scotsman concluded: "Obviously it will never be taken away from me that I scored at Wembley, but in the end it meant nothing in terms of the game itself.
"On another day it could have been very different. In the first-half we were the better team, but the game turned when Hull scored twice within a few minutes at the beginning of the second-half.
"From that moment we were chasing the game, but we never gave up and after I had scored I honestly thought we could get another and take the game to extra-time, but it wasn't to be."