Town - who had defender Matt Pennington sent off after conceding a penalty - were dumped out of the Carabao Cup by lower-league Rochdale at Montgomery Waters Meadow, going down 2-0 to the League Two side.
It continues a run of six games this season without a 90-minute victory - five of which have been defeats, as a clean sheet continues to prove elusive, as well as goals at the other end.
Jake Beesley, from the penalty spot, and Danny Cashman netted in the second half to hand Rochdale a deserved win, before which Town fans vented their frustration from the stands.
Cotterill, whose side are bottom of League One after four goalless league games, said: "There are a few of those (tough nights) at the moment. It's not dropping for us at the moment.
"We could've done with getting our noses in front, another bright start, did OK, and then the confidence seems to wane a little when we don't score.
"Then it can look like lads aren't doing enough when their confidence gets short. That's how it looks, just like that, that they're not doing enough.
"Until you've ever been out there you can't quite understand how they feel, and that is how they feel at the moment.
"Maybe that needed to happen to us to hit rock bottom, because it hasn't been a very good start to the season.
"I feel for them, because I think they're all honest lads. It's tough for them at the moment, what they've got to do is stick together, we carry on doing the work we've done and hope that starts to change for us."
Cotterill revealed he will assess footage of Pennington's foul on Beesley which led to the penalty for the first goal before deciding whether to appeal the three-game suspension which would carry into League One - beginning with Gillingham at home on Saturday.
But the boss added Town will not 'appeal frivolously'.
"It feels like a missed opportunity because we could've gone in the hat for a big draw, which is what we wanted," the boss added.
"And then anything can happen, you get a good night, good feelgood factor."
Cotterill said: "If I highlight it (the lack of goals) too much it puts more pressure on the strikers in every game.
"We need one of those scrappy goals to get us up and running. The dressing room is good, tight, but they're not quite sure of themselves as a group at the minute.
"That's when they really, really need to stick together. I feel for them - they aren't not trying, but they need to grab games by the scruff of the neck a bit more and be more ruthless.
"It would be nice to see us a goal or two us, because then you'd see the confidence come back as soon as it drains the other way. It's difficult for them. I've got to keep throwing that blanket around them, that I'll look after and work them, to see them enjoy victories we all want.
"Teams bigger than ourselves have had tough starts and we've had one. It's been a real tough month."
Town fans booed at the full-time whistle following a deeply frustrating evening, but the boss was firm in his praise of the just over 2,000 home fans in attendance. He said: "I thought they were excellent tonight. I can't thank them enough for how they are at this moment in time with the boys, they are brilliant with them."