The Champions League dreams look over after John Egan's late header at Bramall Lane.
Adama Traore yet again saw his troubled shoulder pop out of place in the loss, too, and sixth-placed Wolves appear to have a real fight on their hands for a Europa League place, with the Blades now just a point off them.
"At the end of the day, it’s a tough moment," said Nuno.
"It was very, very intense - it could go both ways as they had chances, we had chances.
"Football always teaches you that you must be focused until the last moment.
"Small margins, that’s football. We are sad, but we will react.
"This is a tough place to come, and Sheffield is a very good team. We had moments and in the final moment, we should finish our chances. Small details, this is football."
The defeat came hot on the heels of Saturday's 2-0 loss to Arsenal, with Wolves only managing one shot on target in each of those.
They will be looking to perform a lot better as Everton visit Molineux on Sunday (12pm).
"We are disappointed because we lost the game at the last moment," said Nuno.
"It was an intense game and both teams going for it. That aspect of the game we are ok.
"We look game-by-game, now we must react. It’s been a tough period but now we play Everton on Sunday and must raise our standards.
“We cannot be judged only by this last moment. We are looking for the next game to improve.”
Traore, meanwhile, valiantly carried on after going down in pain in the first few moments of the encounter.
Nuno, though, confirmed he suffered a dislocation - as he did in both league games against Tottenham, and away at Manchester United.
"It's the same issue he had before, lets see how can overcome. He’s in pain now but he’s a strong boy," added Nuno.
“He’s in pain. Of course, it is in his mind but after that, he kept going - fighting, jumping. It’s on his mind but he can overcome it."
Ruben Neves, who provided Wolves' closest attempt as his free-kick rattled the bar in the first half, insists they will keep their heads up.
"It's hard. It was a tough game for us. The way they play is really hard to play against," said Neves.
"We had a few opportunities, counter-attacks. We just need to keep our heads up as we still have a lot of games to go. We want to win the next one."