The League One club lost on penalties at the first round stage after Danny Whitaker's second-half opener was cancelled out to take the tie into extra-time.
Lee Hughes hit a post late on and the Latics missed a host of chances which left Sheridan bemoaning his side's inability to find the back of the net.
"It's very frustrating to go out and we've shot ourselves in the foot given the number of chances we had," he said.
"We could have been 3-0 up within half-an-hour, but it's not to be. There was some excellent football in the first half and we created chances, but we got sloppy after the break.
"I'm sick of telling players to take care of the ball and the build-up to the goal was a joke.
"But I'm trying not to get too down. We should have won the game and I know that."