Chris Wilder was left frustrated, following Saturday's opening day loss at home to Swansea City.
George Baldock fired home early in the second-half in front of the Kop, but goals from Oli McBurnie and a late effort from substitute Yan Dhanda won it for the Swans, much to the annoyance of the Blades boss.
He remarked: "We got our noses in front in what was a tight game, but when you defend poorly like that you'll get punished.
"They didn't opened us at all really, they had some decent possession in the middle of the park and at the back, but we created the best chances and there is no way we should be walking away with a defeat.
"But it isn't an unlucky story, we haven't defend properly and we've been punished, again the game has been decided in both boxes."
Wilder added: "For their first goal we've pressed when we didn't need to, we're then out of shape, they've played round us and we've not tracked runners.
"The second one, we've got four on three at the back, we make another poor decision to go and try and win the ball and we end up leaving ourselves exposed.
"Enda defends the goal rather than the lad at the back stick, it would have been a penalty but the other lad has slammed it in and I've got no complaints about the result, because we didn't defend properly."
"We've got no points from the first game and having worked hard to get into a winning position, we've basically chucked it away."