The game at Spotland finished 5-2 to the visitors, leaving Dale 11 points adrift at the bottom of League One with 12 points to play for.
"Sheffield United went through in injury time and poked a shot at our goalkeeper and I think that was their sixth effort on target - with the other five they scored," said Coleman. "That's unbelievable economy of effort.
"If you look at the balance of the game I thought we looked just as good as them at times.
"In the second half we were probably the better team. We ended up drawing the second half 1-1 but they didn't have to come out as they'd won the game by half-time, so it became a bit of a false game for them.
"But over the 90 minutes we gave as good as we got. What we cannot do is give away the goals we conceded. Conceding three goals in quick succession in the first half shatters confidence."