The Spireites, relegated last season, began life back in the bottom tier with a 1-0 defeat at AFC Wimbledon on Saturday.
Jack Midson's first-half strike proved the difference between the two sides in the end but the visitors certainly had their chances and Dons goalkeeper Seb Brown was named man of the match.
"We should have scored four goals in the opening 15-20 minutes. We played really, really well but we just didn't take our chances," said Sheridan, whose side won the title the last time they were in League Two two seasons ago.
"Then they scored and it gives them something to hold on to and that's what they've done, but I don't think I've seen a game more for the taking. We should have won the game, we should have got the three points but we haven't.
"The goal should never have happened. We've got possession 80 yards from our goal and in five seconds they've scored. Whoever's at fault for the goal has to hold their hands up but I'll do that in the dressing room."