Visiting League One side Port Vale were 1-0 winners in the Mansfield fog to deny Stags a place in the quarter-finals and it also ended hopes of beating the club's all-time 20-game unbeaten record which they equalled on Saturday taking last season's last day win into account too.
“It feels a bit raw as we have not experienced this feeling since the end of last season, losing a game,” said Clough.
“We wanted to break the club record tonight which hurts as much as anything as well as getting into the last eight.
“But to be here on the 31st October and say that's the first game we've lost all season in all competitions I am incredibly proud.
“The most important thing now is to quickly out this behind us. We mustn't dwell on it. We need to get ready for Wrexham on Saturday now and do everything we can to get through in the FA Cup.
“I didn't think we did ourselves anywhere near justice in that first half.”
He continued: “Ironically I thought we started well in the second half and the goal came from their first shot in that period – and from distance as well. I was a bit disappointed the way it went in.
“After that I thought the crowd got behind us and we had a real go at them, especially when the subs came on.
“We didn't get into our stride at all in the first half. I don't know if it was the occasion. We went too long too early and looked a bit panicked on the ball.
“But give the opposition credit with the way they closed down and you saw the extra bit of quality and composure from League One players.
“It was a brilliant experience as that is where we are aiming to try to play our football.
“They probably had the strongest side they have had out for a few weeks.”