Manager Joe Dunne had nothing but praise for his players despite seeing Colchester slump to their eighth successive defeat at Doncaster.
The U's were the better side for long periods of the game but came away empty-handed after David Cotterill scored a stunning match-winner six minutes from time.
"I thought we were magnificent and didn't deserve to lose," said Dunne. "We executed a game plan absolutely spot on and it's one of the those games as a manager when you're left scratching your head.
"We have to recognise we lost the game at the end of the day and we are all devastated about that, but the players should be proud of themselves. I couldn't have asked for more from them and if they continue to play like that we are going to get out of the situation we are in."
Colchester had the ball in the net on the stroke of half-time when Josh Thompson headed home but the effort was disallowed for pushing.
Dunne added: "I thought it was a perfectly good goal, but that's the way it goes when you are struggling near the bottom. It's hard to take, but we just have to keep believing in ourselves because we will win more than we lose if we play like that.
"It's tough losing again after a performance like that but I'm really proud of my players. It took a wonderful goal to beat us, but really that's no consolation at all."
Cotterill netted his 10th goal of the season. The three points moved Doncaster level with npower League One leaders Tranmere but after the game Rovers boss Dean Saunders' first thought was to look at the other end of the table.
He said: "We've got 50 points now and that means we should be safe and not get relegated.
"`I think the last game against Sheffield United, when they pinched a point after we had been two goals up, took its toll on the players physically and emotionally because we couldn't seem to get going at all. But when we don't get it together we have the ability to keep a clean sheet and not give anything away."