O'Shea cut a frustrated figure after seeing his side score three goals only to suffer a narrow defeat to Chelsea in a compelling game at the Stadium of Light.
"You can't score three goals against Chelsea and not come away with something - that's the frustrating part," he told safc.com.
"We always analyse the goals and individually and collectively and we can always do better. That's what we're going to have to do.
"If you score three goals you generally think you'll get something from the game, so to not do so was disappointing."
He added: "The reaction at the start of the second half and right towards the end [was good] - we were well in there.
"But we need to be defending much better in terms of keeping clean sheets. We got one at Aston Villa but needed to do better tonight."
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