Sidwell and his teammates slumped to a 4-1 defeat to Stoke City at the Britannia Stadium yesterday, sealing their demotion to the Championship after 13 years in England's top flight.
He told Sky Sports News at full time: "I think last week probably knocked the stuffing out of us - 2-0 up at home and coming away with a draw. We knew we had to come here to get a result and it's not worked out.
"It's probably more disappointing with how we have performed today. I think words were said in the dressing room, that if we were going to go down, let's go down with a bit of fight and courage - something that's not been there throughout the season, let alone today.
"So it's a sad day for Fulham Football Club."
The West Londoners will be joined in the second tier of English football by Cardiff City next season, who were also relegated on Saturday.