Goals from Antonio German and Chris Whelpdale proved the difference and, although Jason Banton pulled one back, the Pilgrims slip to the foot of the Football League.
"As a team, I don't think we believed we could get something," said Sheridan. "It was a tough game. Gillingham are strong, well organised, they get in your face and they make life difficult.
"But I thought if we wanted it a bit more we could have got something out of the game. I feel there was definitely a chance [of that].
"We fought hard, but the goals were poor on our half and they picked the seconds and we didn't keep the ball when we needed to.
"We had little patches of play, but I don't want us to start creating chances in the last 30 minutes of a game. I want to get an advantage in the game first.
"It's easy [creating] when you're 2-0 and the game's possibly gone for you.
"I think there were one or two 50/50 penalty decisions that didn't go our way."