United's Wembley woe was completed after the final whistle when Lee Hendrie was shown a red-card for comments made to referee Mike Dean, a dismissal missed by most observers.
Kevin Blackwell had already seen hopes of an equaliser dashed when substitute Jamie Ward was sent-off for two separate cases of handball, a decision he did not dispute:
"The young lad has got to learn but there are no bad feelings about the decision - he left Mike Dean with nowhere to go but to red card him."
On a day when finding a positive was made difficult through sheer disappointment the United boss picked out a couple:
"I can't ask any more of the players than what they have given me over the season. The youngsters came through okay and handled it fairly well, but it is back to the drawing board.
"Naughton deserves a lot of credit for carrying on after the shoulder injury, and Kyle Walker was fantastic, too.
"Burnley were well-drilled and we couldn't get behind them to test the big man in goal. We got mugged on the break but it was a top class finish.
"Owen Coyle's side was well-drilled and kept hitting us on counter but we had to go forward and we couldn't create enough in the right areas to hurt them.
"They have beaten us three times this season and I hope they enjoy the Premiership, I'm just jealous it is not me."
Not surprisingly, in the immediate aftermath of defeat at the final hurdle, Blackwell couldn't hide his pain - and concern for the job to come:
"This is not a place to come to and lose and to do so is very damaging after a long hard season. The players will be back in four and a half weeks but it will be a tough job picking the team up after a defeat like this.
"This is a serious time for the Club and for me, and it is so hard to take that I won't be sleeping for weeks now. The players are in pieces in the dressing-room."
