SuperSport beat Gor Mahia 2-1 at Lucas Moripe Stadium on Wednesday night, but were eliminated on the away goals rule after losing the first leg of the second-round tie in Nairobi.
Tembo insists there is no joy in bowing out of the competition, despite it meaning Matsatsantsa can now focus all their attention on their fight against relegation from the Absa Premiership.
"To be honest I am gutted," Tembo said.
"I am really disappointed, not with the performance but I am disappointed with the result. Because I think today we played better, especially in the second half when we changed and played three at the back and added more attacking power.
"I think we opened them up and created a lot of opportunities and with a little bit of luck we deserved to win the game by more than two goals."
Tembo fielded youngsters such as Dylan Stoffels, Jamie Webber, Luke Le Roux and Darren Smith against the Kenyan visitors.
He added: "They are the future. I was happy with their performance but there was a lack of experience here and there and it happens.
"They learn from playing and not from sitting. When we give them game-time they learn from their mistakes and that's part of their development as well.
"I am really happy with their performance."
SuperSport are a point above the Absa Premiership drop zone with three games left, and will next host high-flying Free State Stars in Atteridgeville on April 25.