Sheridan was disappointed to see his Johnstone's Paint Trophy finalists go behind after making a bright start.
First-half goals from Lee Novak and Jordan Rhodes winning the game for the Yorkshire club.
Sheridan said: "They are a good team, strong and well organised but I thought we started really well and when the goal went in I was really gutted because I was pleased with the way the lads were going about their business.
"Just before their goal we had a great opportunity and we were really matching them but then the goals gave us a real setback. We do things that cost us and it was always going to be difficult once they got the second goal.
"We had chances to score one or two but we've got nothing from the game although once again, I can't fault their effort. But consistency is a magic word and we're not consistent."
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