Chelsea were made to pay for not being ruthless enough against West Ham United.
The Blues had a lot of possession and chances near the goal against the Hammers on Sunday.
However, they lost 3-1 away from home to a side that had ten men for nearly 30 minutes of play.
Speaking on Sky Sports, Sterling said: “It is a difficult one to take, the chances we created and dominating at an away ground.
“They took their chances and they deserve it in the end.
“Dominating a game at a ground like West Ham's you have got to take your chances, this is the Premier League and it will come back to haunt you.
“When that second goal went in it was a downer, as we have not taken our chances and they took theirs.
“It is stepping stones, we dominated the game and physically we are better, we just need to cut out some of the sloppy play."