"They have to learn and accept that sometimes it isn't your day," says Alan, in the wake of the 2-0 home reverse against Aston Villa at Upton Park in which two West Ham players were sent off.
It brought the run to an end at the quarter final stage following a penalty shoot-out in the previous round against Nottingham Forest.
"The previous round was an excellent game between two good sides and really good clubs," recalls Alan.
"Really, both teams deserved to go through but we held our nerve."
Alan feels that overcoming the pain of losing in front of a vociferous home crowd will help the youngsters to mature and explains:
"You have disappointments in any soccer player's career, even Alan Shearer - for 90% of it, it is disappointment.
"You don't get your promotion or trophy, say, but every now and then you get a nice surprise when you win something.
"I believe everybody is capable of winning something but the circumstances and environment have to be right.
"That is what we are trying to create here - and, if you do that, you have a chance of winning."