Nigel Clough was disappointed that a lapse of concentration ultimately proved decisive as United exited the Johnstone's Paint Trophy at Walsall on Wednesday evening.
Romaine Sawyers headed home from the corner in 55th minute with the aid of a couple of deflections and an attempted clearance from skipper Michael Doyle.
Speaking post-match Clough was understandably frustrated at the manner of the goal, but annoyed the Blades weren't awarded a penalty shortly afterwards when Chris Porter appeared to be felled by Saddlers goalkeeper Richard O'Donnell.
The Gaffer remarked: "It was a cagey game with nothing in it, but we have conceded another poor goal from a corner that has proved to be the difference.
"Our reaction to going behind was positive and if the penalty decision had gone our way the outcome would probably have been a different one, we are just flummoxed to how that isn't a penalty.
"The referee has got a decent view too, the goalkeeper comes out takes down Chris (Porter) and if it is a penalty it is probably a sending off too, I just can't see for the life of me how it hasn't been awarded.
"The Walsall players even looked to resign themselves to it being awarded because they didn't really react to the loose ball as Diego (De Girolamo) fired over.
"We are looking vulnerable from set-pieces, corners especially, so that gives us plenty to work on ahead of the weekend."