After fighting back from 2-0 down at Blundell Park, United levelled at 2-2 before being eliminated in the penalty shootout on Wednesday night.
"I mean, it was not good enough, clearly, especially in the first half," Dalot told MUTV. "We gave the game to them.
"We gave them exactly what they wanted: winning duels, second balls, set plays. We fought back, but I think that is the minimum we could show to the fans that travelled today for ourselves and for the club.
"It was clearly not good enough. We cannot come here and expect that it is going to be easy because this competition, this club... they fought really hard to deserve to go through.
"But it shouldn't be enough to win against us because we should have shown much more."
Dalot added: "Not just the quality but the minimum standards that you ask in every game. I think the best way for us to respect Grimsby was to come here and play 100 per cent; I think that is what we need to improve for the future.
"I am not going to go through the same sentences time and again. We just lost one opportunity today to show that we deserve to be here."