Nigel Clough felt Tuesday's home loss against the MK Dons was unjust on his players.
Speaking after a late Deli Alli goal against the run of play condemned United to an underserved 1-0 defeat at Bramall Lane, Clough felt the visitors had the rub of the green.
The Gaffer remarked: "We were very pleased with the performance but not the result, the two just didn't go hand in hand on the night.
"We felt we played much better than we did against Oldham and Notts County, yet we lose the game, so that is really frustrating.
"The game was always going to be about small margins, MK Dons got a break from the free-kick, but despite numerous balls into their box it just wouldn't fall for us.
"Obviously it was a real blow to lose Chris (O'Grady) after just 20 minutes, but we got organised and in the second-half we dominated possession and territory, but the break proved elusive.
"We perhaps lacked that bit of quality in and around their penalty area, but MK Dons were no better.
"We aren't sure it was a free-kick for their winner, then the lad mishits the rebound straight to the lad at the back post and they snatch all three points."
Of O'Grady's early withdrawal, Clough added: Chris was brought off as a precaution, he just felt his calf tighten up and we would have been silly to risk him at this stage.
"We now have 10 clear days to get him fit for Fleetwood as he hasn't got permission to play in the FA Cup anyway, so hopefully he'll be fine."