Skipper Teddy was involved in late controversy in Sunday's Worthington Cup Final when he was upended by Blackburn's Nils-Eric Johansen only for referee Graham Poll to wave away penalty appeals.
Rovers' keeper Brad Friedel then saved superbly from Les Ferdinand and that was that - Andy Cole's second half strike good enough for a 2-1 win for Graeme Souness's men.
Teddy famously won the lot at Manchester United, including the European Cup, so how did the other side of the coin feel? "I'm disappointed," he said. "To win a cup is a big thing at the start of the season and we've missed out on that. It was a chance to get into Europe as well, which would have been lovely, but it wasn't to be at the moment.
"I'm sure we'll have a couple of days when we'll keep going over and over it in our heads but we need to pick ourselves up. It's a big game against Sunderland on Saturday and we need to get back on the winning trail.
"But at the moment the disappointment is quite deep."
Teddy Sheringham admitted cup final hurt would run deep for the early part of this week but insisted: "We have to move forward."