The Yugoslav defender was determined to help us go one better in the competition this time around having reached the final last season.
But it wasn't to be as the Clarets turned around our dominance and 1-0 lead in the first half with a stunning 20-minute spell after the break.
The disappointment was compounded by defeats to a number of big clubs with the likes of Arsenal, Leeds and Newcastle United joining West Ham and Manchester City on their way out of the competition on Tuesday and Wednesday.
Goran reflected: "You cannot imagine how disappointed we all are. I think it was a great opportunity for us this season again because a lot of the stronger teams lost as well.
"Of course, we now go to Sunderland this weekend and they beat Arsenal, one of the teams to go out.
"Now we have to show character. Last season we were able to strike back straight away from any disappointments and this is an opportunity to get back out there and win some Premiership points."
Goran would take nothing away from Burnley though.
He added: "We had a few chances and maybe that would have made it a different story but Burnley deserved their victory. They played very well, a couple of players had a great night, we didn't have such a good night and perhaps we deserved to lose."
Goran Bunjevcevic has underlined the feeling of disappointment at Spurs Lodge today after our Worthington Cup exit at the hands of Burnley.