Speaking to BBC Solent, Stephens said: “It's been a really tough few days, but not just for us, for everyone: the staff, the club, the fans and everyone in the city.
“The whole country has been laughing at us and I'm sure there were a lot of people expecting us to concede a lot of goals against Manchester City.
“It was tough for us to come here, but I thought we showed a lot of character and fight.
“When it went 2-0 in the first half, after Friday, it would have been very easy to give up like we did on Friday.
“It was important that we stood up and stuck together."