Agnew believes that a club like Boro deserve to be in the Premier League, but for now will turn his attention to putting up a defiant end to the season.
"Everybody's devastated. We've worked so hard for a number of years to get back into the Premier League and we know how tough the Premier League is. We've pulled up short. I've left a very silent dressing room. Everybody, staff and players, are absolutely gutted," he told reporters.
"The bottom line is we haven't won enough games and haven't scored enough goals. It's a Premier League football club in terms of everything about it. The supporters, the stadium, the training ground, the infrastructure is all there.
"The most important thing is we finish the season strong, we make sure we gain more points and then everything moving forward will be towards getting members of the football club back into the Premier League as soon as possible. The task now is to put a performance on for the supporters on Saturday."
Boro's final two games of the season come at home to Southampton and away to Liverpool.