Nigel Adkins admitted the Blades were frustrated to leave Spotland empty handed, following a 2-0 loss to Keith Hill's Rochdale on Saturday.
Only an 'inspired' display of goalkeeping from home stopper Josh Lillis prevented the Blades from being out of sight by half-time, before goals from Peter Vincenti and veteran Grant Holt condemned United to defeat in Lancashire.
Speaking in the aftermath of the reversal, Adkins conceded it was a missed opportunity, especially given his side's early dominance.
He remarked: "I think we played really well in the first-half, I am sure our travelling supporters would agree, but Josh Lillis was in inspired form.
"We were dominant, lively and on the front foot. We were positive, played forward and had a energy about ourselves.
"But unfortunately, it is about converting your chances and we didn't, then Rochdale go and score with their first real opportunity.
"For the second goal, it's a crowded penalty area, but we lose the goalscorer and he has a free shot to make it very difficult for us."
United lost Martyn Woolford to a nasty leg injury in the first-half, was Florent Cuvelier who impressed on his first start of the season, also picked up a knock.
Adkins added: "We came to win the game and we haven't, it's simply about the results and we are bitterly disappointed.
"Having lost Woolly on the half hour, we introduced Matty Done such was out endeavour to attack because we need to win games.
"Flo had an excellent game too and could have scored but for a very good save, but he has picked up something too which we hope isn't anything serious.
"The facts say we have lost a game we really should have won given the number of chances we created, but we must keep believing."