The Sky Blues fell to a narrow defeat at the Cambs Glass Stadium, losing out against Cambridge United...
Jabo Ibehre and Uche Ikpeazu struck either side of a Duckens Nazon effort, but it was a day of missed chances for the Sky Blues in a game they had numerous opportunities.
Kelly said: "If you look at it and the chances we've created today we've been unfortunate not to convert more of them. We can feel hard done by, but we need to learn from that.
"It's a disappointed dressing room. I think we did play quite well today, but the final third wasn't quite good enough and we haven't been able to deal with two crosses at the other end.
"That is what they're good at. They have played to their strengths and come away with a win, but for us it's frustrating we've not been able to deal with it."
Despite the result, Kelly admitted there were plenty of positives to take from defeat,
"Two in two now for Nazon. He is a good player and if he continues that he can help us this season. We need someone banging in twenty goals if we are to get promoted.
"Like i said, the performance was good today. It was probably one of the better performances of the season, which makes the result even more disappointing,"
He added: "I think we need to be a bit more ruthless around the box and take a few more chances. If we start doing that we can score 3 or 4 most games with the chances created."