This, after he tasted defeat in the final for the third time in his career on Saturday against Huddersfield at Wembley.
The Blades have lost all four of their play-off finals without scoring a goal, losing out 1-0 to Crystal Palace in 1997, 3-0 to Wolves in 2003 and 1-0 against Burnley in 2009 - all in the Championship - while the 8-7 penalty shootout defeat to Huddersfield meant a hat-trick of final defeats for Montgomery.
The 30-year-old, an unused substitute against Wolves, but who started against Burnley and the Terriers, said: "It's hard to take, but we just have to try and take the positives.
"We've had a great season and picked up some great points, but to go so close to automatic promotion and then lose on penalties has got to be the worst way to miss out.
"But life goes on. We move on as a club. It doesn't get any easier, it gets worse every time. The game itself was one of those where we could have played for another two days and I don't think anyone would have scored.
"Two good teams and unfortunately it's us that has to miss out. The only thing we can do is try and come back stronger because of it and try and get automatic [promotion] because play-offs for us is just not good. We just don't seem to get the luck."