The Black Cats failed to emulate their performance in Saturday's thumping win over West Ham as two second-half goals from Marvin Sordell earned the Championship side a 2-0 win in their third-round replay.
O'Neill said: "It was really disappointing following Saturday's excellent display, and we need to start getting some consistency to our game.
"We're going to have to get it. This is a big club and we shouldn't be spending 40 years without winning something, we really shouldn't.
"We didn't take anybody lightly here tonight, we just got beaten because we didn't create enough chances in the second half.
"I know some people field weakened sides but we didn't, we tried to win and we weren't able to do it, and that was very disappointing."
Sordell opened the scoring with a penalty after Jack Colback was adjudged to have tripped Darren Pratley, but O'Neill said: "I've seen it back a number of times and I think it's rather dubious.
"It is a big moment, but Bolton put a big effort in and did very well indeed. It was a very disappointing night."