Pirates were undone by a resurgent Downs side, who walked away 3-1 victors from the Orlando Stadium to end their run of three consecutive defeats.
Sredojevic admitted his side were seriously unsettled by Hlompho Kekana's two early goals, and explained the risk he took that allowed Sundowns to grab a third goal at the death.
"The two early goals seriously unsettled us. You could understand if we were playing against one-goal down, but the second goal in a way puts you [under more pressure]," Micho conceded.
"But we were, in a way, shaking each other and moving in a way that we needed to come back. We had no right to give up so we had gone all out in attack, scored the goal in time and tried our best in the second half.
"We took a risk [at the end]. It could have stayed 2-1 if we kept Justice [Chabalala] back and whatever, but we wanted him and [Thamsanqa] Gabuza to be up front in order to try something.
"You will feel guilty if you haven't tried at least – if you die, go and die as a person that has tried to survive."
Regarding the two mistakes by Sandilands, who was twice caught off guard and off his line in the first 13 minutes, the Serbian tactician explained that it is not his style to throw players under the bus, as he revealed what he told the Bafana Bafana shot-stopper at half-time.
"You'll never hear me blaming an individual player because I have the highest possible degree [of respect] for the players. I can understand that no player ever made an intentional mistake," said Micho.
"At half-time my first gesture after coming into the dressing room was sitting beside Wayne, telling him, 'This is for history, take a scissors and cut it off. The game starts for you now, now show what you are capable of. All of us have trust, confidence and belief in you'.
"All other players accepted [the mistakes] in an accepting way, and I believe in the second half he [Sandilands] was okay. I will not go back and blame anyone because it's not my culture. I will rather look for solutions and ways for it not to happen again."