Skipper Teddy looked as if he was upended by Blackburn defender Nils-Eric Johansen as we piled forward looking for a dramatic, late equaliser.
But referee Graham Poll waved away our appeals and the chance to take the final into extra time.
"I can't believe the referee's not seen it," declared Teddy afterwards. "It was 100-per-cent a penalty, definitely, but he's not given it. What more can you say?"
He chose to say no more but strike partner Les Ferdinand, manager Glenn Hoddle, assistant boss John Gorman and television replays all backed-up the skipper's claims.
Les said: "I saw Teddy go down, there were a crowd of players there and he swears he was caught. Teddy's not a diver. He went down but the referee said no. It wasn't our day."
"I'm sure it was a penalty," insisted John. "It looked a blatant penalty.
"But the referee wasn't giving things like that. To be fair, they went down in the box a couple of times as well and he waved play on."
And Glenn added: "Teddy says it was definitely a penalty. I've seen it and most people are telling me the same.
"The referee has decided very quickly not to give it. At that stage of the game he's got to make a decision. He's not looked at his linesman who was in a perfect psition as well.
"But I didn't seek him out afterwards. The bottom line is he's not going to reverse it.
"You've just got to take it on the chin, there are no two ways about it. It's a hard one but you need a bit of fortune in cup finals and we didn't have it."
Teddy Sheringham is adamant he was denied a '100-per-cent' penalty in the dying moments of Sunday's Worthington Cup Final.