The Seagulls won their FA Cup tie 3-1.
But Goldson said: "It was a tough game. We said before the game we're going to have to be on it. We had to set the tempo.
"We've been the underdog a few times and I think Coventry should be proud of themselves, they had a good go.
"We'll now take it game by game and see how far we go in the FA Cup. We'll see who we get in the draw to tonight and see if we can get to Wembley."