With another 45 matches still to be played in the third tier, the ex-Bradford City man is confident that the Town can be pushing for one of the top spots.
He said: "We're obviously disappointed to lose the game. It's a very hard place to come as well and I thought we were the better team and we should have won it. They've had one clear cut chance and they've taken it from a mistake in the defence. Obviously I slipped, the guy got in and pulled it back and we didn't deal with it.
"They've had one had clear cut chance and we've had about five or six, so I think it just shows they were clinical. Apart from that, I don't really remember them having a chance. I thought we defended well on the whole and I thought we played some excellent football.
"I'm not going to sit here and make excuses, I think my boot split or something like that, but I've got to deal with it better. Unfortunatley these things happen, and you get on with it, but it's cost us the game today."
The 31-year-old saw his looping free kick come off the inside of the post and agonisingly cleared away by a Portsmouth defender – one of the many chances put together by the Hatters who might have taken more from the game on another day.
The result means Town have now failed to score in their previous four meetings with Portsmouth at Fratton Park and haven't won on the south coast since 1975. But Sheehan is sure that these negative stats had no effect on Nathan Jones' men going into the match.
"I thought it had gone in, but it didn't," Sheehan said of his chance. "We can sit here and cry over spilt milk all day but the good thing about it is there are no medals handed out in August. It was our first game and we won't have many away ties as difficult as this and I think we came and put on a really good show without actually scoring a goal.
"We didn't really know about the poor record at Fratton Park. Obviously, this team has never played here. It's different and the last time we played them we beat them 1-0 and that's all we really knew."
Luton's first encounter in Sky Bet League One also allowed Sheehan to form a new centre-back partnership with Matty Pearson, who signed from Barnsley earlier in the summer. The pair looked comfortable together and Sheehan is happy that the two of them made a good impact.
"I thought we were solid. When you come to a packed house like this, you've got to defend and be solid. I think it says a lot that our keeper has not had a save to make in 90 minutes."
The newly appointed captain is now focussed on the first home game of the season next weekend, when Luton entertain the Black Cats.
With so many positives to take away from the performance and Nathan Jones admitting he has "never been this pleased after a defeat", the defender is hoping that his team can put their first points of the season on the table.
He added: "It's a huge game. They were in the Championship last season and we were in League Two. It's a massive, massive club to be coming to Kenilworth Road. They'll be trying to win the game and we will be trying to win the game, so it should be great match.
"We've got a lot of strength and depth in the team, we've got a lot of good strikers, but Danny Hylton will make any team stronger, Danny Hylton is the man really.
"He's the one that no defence in League One is going to want to play against. He's just a nightmare to play against, he's a bundle of energy, but the boys who played up front today who filled in have done really well but obviously Hylts is a huge player for us, there is no getting around that."
