Stags fought back from 2-0 down against Championship opposition to level only to lose to a stoppage time own goal in a fabulous cup tie.
“We have had three cracking games and should have made it through to the fourth round today,” he said.
“I was very disappointed with the first 30 minutes – I don't think we started well and that is what cost us ultimately going 2-0 down.
“But from that point on I thought it was brilliant stuff from us.
“If they had got a third it would have been game over.
“But stay in the game at 2-0 and get one back and you hear the crowd reaction. Then we scored an absolutely brilliant equaliser. But it was to no avail when you concede a poor goal again in the 95th minute.
“Middlesbrough' s quality showed in the end, especially with their first goal.
“We had situations much better than that but didn't work the goalkeeper or hit the target.
“We had more than enough chances over the course of that hour to get more than two goals.”
The defeat ended a run of 10 wins in 11 games for Mansfield and Clough said: “We have been playing well for a few weeks and it's a little more satisfying to play like today considering the quality of the opposition.
“We will take a lot of encouragement from it but need to learn how to not lose the game.
“It was a cracking cup tie for anyone watching it. But we are in here to win. We didn't really want extra time but we'd have taken it rather than get knocked out.
“Then main thing today was to have a good go at them.
“It would have been easy to crumble at 2-0 down. To make it as uncomfortable as we did for them was an accomplishment.”