The Ghanaian international made a substitute appearance at the KCOM Stadium on Tuesday night as United went in search of a place in the last four of the EFL Cup.
It wasn't to be, though, as Rafa Benitez side suffered an eventual 3-1 defeat on spot-kicks after 120 minutes of football failed to produce an outright winner as it ended 1-1.
Atsu - the only Newcastle player to score from the spot - looked lively after his 81st-minute introduction, laying on a number of chances from the left.
But the 24-year-old says his side must now endeavour to put the defeat to the Premier League side behind them as they get ready to head to the City Ground at the end of this week.
"You can see that everyone is very disappointed with this loss, but we have to refocus now on the games ahead which are more important now than the one we've just played," he told nufc.co.uk.
"We have a league game on Friday, and we can't be thinking about this game. We have to concentrate on the game ahead. On Friday, we have to give everything, and we have to react quickly.
"It's so disappointing when you lose games like this but you have to react quickly. I think that after we lost at home to Blackburn, today we came here and played a very good game, and unfortunately we lost a game we could have won.
"We now have to concentrate and react quickly in the next game against Nottingham Forest."
Atsu added: "It's very, very disappointing because we could have won the game, and then (there was) a lack of concentration. They got one chance and then they equalised. Penalties are just 50-50, and they won. We're really disappointed.
"They had the red card and then we scored, and we knew that it would be difficult for them to score. But the chance that they got, they scored. I thought we played a very good game, but the result was not the best for us."
Atsu's penalty flew in off the underside of the crossbar to give the Magpies hope in the shoot-out.
But Jonjo Shelvey, Dwight Gayle and Yoan Gouffran couldn't manage to convert from the spot, and while Atsu sympathised with his teammates, the Chelsea loanee admitted that the visitors carved out enough chances to have won the game inside 120 minutes.
"We had a lot of chances, even when it was 1-1. We created a lot of chances and we missed a lot of chances too," he said. "We had more possession than them, and we were just unfortunate that we lost the game.
"I think we were better than them. We created chances, we had more of the ball possession and we deserved to win the game but we lost, and that's football.
"Anyone can miss penalties - the best players in the world miss penalties.
"We just have to look at the next game. It's more important than the ones that are behind us. We have to concentrate on the future."