"To be honest I thought we were the better team and didn't deserve to lose the game. Everyone worked hard together and we were unlucky," he says.
Jermain - an incredible 8/1 to score the first goal - was defending Graeme le Saux's two last gasp corner kicks, the second of which led to John Terry's goal.
He says: "I tried to stand in front of the ball to put the kicker off and the first time it worked but the second time it was bad defending.
"Hopefully the lads can get it right for Saturday, and all we have to do now is look forward to that."
The players had a long meeting with Glenn Roeder after getting showered, and Jermain reveals: "The manager has said don't get your heads down and feel sorry for yourselves, because Saturday is important.
"We are looking to finish in the top half of the table and hopefully we can do that. We are out of the cup now and we have to look forward to Bolton.
"Chelsea are a great side and we always knew it would be difficult."
Arguably, the game hinged on the luck of the post: earlier, Christian Dailly had a header hit the woodwork and then Terry - locally born, but a Manchester United supporter - saw his effort go in off the upright.
"I thought Christian's was in from where I was standing, but it is down to the referee - and Terry's header could easily have gone the other way," he says.
"It is the lowest I have been, and the next round was Cardiff...no, Preston!
"I was thinking of getting to Cardiff but now we have to say good luck to Chelsea.
"I'm looking forward to the next game now and that is all I'm thinking about; but it is frustrating because I didn't think we deserved to lose."
Although some claimed the first goal was a John Terry own goal, the bookies have paid out on Jermain...