Pirates exited the quarter-finals 4-2 on penalties following a 2-2 draw at Orlando Stadium on Saturday night.
Goalkeeper Sandilands came into the match under pressure after leaking two soft goals in a 3-1 league loss to Mamelodi Sundowns three days earlier in Soweto.
"He could not do anything in both situations. He was let down by not being protected by the others," said Sredojevic after the TKO defeat.
"It was a good day in the office [for him], but if he was protected by the others it will mean even more [good performances]."
Sandilands could feature for Bafana Bafana in Friday's World Cup qualifier with Senegal in Polokwane, as first-choice keeper Itumeleng Khune fractured a bone in his face yesterday on club duty for Kaizer Chiefs.
Meanwhile, 'Micho' said he will use the FIFA break to improve on all aspects for their next league tie with Golden Arrows on November 21.
"Now we have a FIFA week, we need to regroup, work hard, prepare ourselves and focus on the league. And look forward to improve where we are lacking."