The Owls boss, who made seven changes for the fourth-round replay at Hillsborough, will now focus his players' attentions on Saturday's league clash at Exeter, which will be their third game in seven days.
Megson said: "We certainly wanted to win, but everything at this football club points to being successful in the league.
"We're not strong enough to beat Yeovil, take on a strong Blackpool side and then go to Exeter.
"We had to chop and change the team. If anybody would have said to me 'you're playing three games in the next seven days, which two do you want to win?', I would have said the two league games.
"Our priority has to be the league and we now have to pitch up and put in a performance at Exeter."
