Town competed well but fell to a fine 89th-minute winner from the visitors' Dion Charles as their six-game unbeaten run in League One came to an end.
Cotterill argued the result was undeserved for his side and that Shrewsbury were much the better side. Hosts Town had more than double the efforts at goal than their visitors, in front of another boosted Montgomery Waters Meadow crowd of more than 8,000.
"It definitely was tough to take, those are the ones that hurt," Bennett said. "As the manager said, it's not right for Shrewsbury Town to get beat, we've been on a great run of late and we're disappointed because over the course of 90 minutes we were the better team but the goal goes in so late.
"We've got another game on Tuesday (at Gillingham) and all preparation has to turn to that now.
"I never like losing, ever, the manager hates losing and he demands we all feel the same.
"We've been on a good run of late, it's disappointing it's come to an end, especially late on today because I don't feel we deserved it.
"When you lose it's better to get back on the horse as soon as possible and there's no better time than Tuesday night."
Town forged some decent openings and a number of promising positions in the Bolton penalty area but drew a blank in front of goal for the third time in four league games.
They passed 500 league minutes without conceding in the second half but Charles' stunning strike into the top corner was the first League One goal shipped by Cotterill's side in almost five games – a winner which led to a rampant away end.
"I thought we were the better team, it's a great finish from their lad to score, but we're disappointed because we want to win every game we go into, the manager demands that, the players want that and it was a killer blow so late on," Bennett added. "They (the fans) have been fantastic, they can really see what we're trying to do and are getting behind us.
"Long may that continue and hopefully we can give them more to shout about on a weekend."
Experienced right wing-back Bennett, who was one of the game's star performers, threatened the Whites' goal on a couple of occasions from distance in the first half.
"The first was a bit closer than the second one," the vice-captain said of a couple of rasping strikes from distance.
"I've got to hit the target there, I expect to, it just wasn't our day to get the win, we've got to go again on Tuesday night away to Gillingham and then away on Saturday to get another run going."
Town named the same starting line-up for the sixth game running and Cotterill handed Saikou Janneh a home debut 12 minutes from time. Fellow new boy Tyrese Fornah was an unused substitute.