"The lads know they should have done better," he said.
"Coventry just seemed to get on top of us and we didn't manage to get that lucky break, or a goal that would have settled everyone down.
"Even if we had clawed it back, it would have been unfair on Coventry. They were better than us and they deserved to win."
But, as Giggs and Beckham can testify, one defeat in the League Cup - however humiliating - does not necessarily signal the end.
"In cup ties like this, you have to put opposition defences under pressure and create chances," said O'Shea. "We just did not do that.
"Obviously, the manager learns a lot more from the players in games like this.
"But these players do have quality. All we can do now is try to bounce back, make sure we work hard in training and put pressure on the lads in the first team."