Super League champions Leeds were beaten 18-14 at Headingley by their NRL counterparts.
"We had our chances but we could not prise them open in the end," Sinfield told Sky Sports News. "It is one of those things.
"The guys emptied their tanks and gave everything so I am really proud and pleased to play alongside every one of them, but tonight we just were not good enough in that final 20 - we just could not open them up."
Leeds return to league action next Friday when they travel to St Helens.