United won 1-0 on Saturday night to leave Chelsea sitting in sixth place on the Premier League table.
Delap started on the night and said afterwards: "It’s really disappointing because we feel we didn’t deserve that.
"We were the better team. It’s a horrible feeling. Obviously we had one man go off and we needed to switch on and defend that moment, and we didn’t.
"On another day we score four in the second half, but it was just one of those days. It's not like we're not creating chances. We're creating plenty of chances, but it's just that fine tweaking of our finishing and it going in.
"We’re frustrated, but it’s on us and we have to put it right. We've got a big chance to do that on Tuesday."
Chelsea meet Brighton in the Premier League on Tuesday night.