Michy Batshuayi scored twice as he continued his comeback from a foot injury in front of just 1,549 fans at Stadium:MK, playing a full 90 minutes in the 4-0 Southern round two win.
There were also goals for Callum Hudson-Odoi and Charly Musonda as a strong Chelsea side blew away their much-changed League One opponents.
Neilson told the MK Citizen: "It's not great getting beat by that score at home. It's one of the things with this tournament, it's difficult to know where they're going with it to be honest when you're playing Chelsea U21s and they've got a £35m striker and a £10m left-back playing.
"It was always going to be difficult for us tonight, and we played a few of the younger ones to give them some game time and experience. We're disappointed with the result, but it's a learning curve for them to play against players like that."
Before adding: "We see this trophy as an opportunity to get to Wembley, but it's very difficult when teams put that kind of strike force out. We have to move on, and we have a game on Saturday now against Shrewsbury to look forward to."