The Blades fell to a 5-3 defeat against Hull City in their semi-final tie at Wembley, but Clough was delighted at the display from his players.
"You can either take this result as a downer or take it as you want to come back and get success," BBC Sport quotes him as saying. "We want to keep the form and feel good atmosphere around the place."
"The second goal just after half time was the killer for us. They were rejuvenated and then scored another after that pretty quickly.
"We are proud of the supporters, hopefully they are proud of us. There was just that tinge, that feeling that we could have done it today. But we are halfway up League One and played in the semi-final of the FA Cup against a Premier League side and we must put that into perspective."
Sheffield United return to League One action on Friday when they welcome Stevenage to Bramall Lane.