The Cottagers looked on course for a crucial point as they were drawing 1-1 with Tottenham on Sunday, but ended up empty handed after conceding a late goal.
Boss Claudio Ranieri was unhappy with the fact that Fulham opted to pump a long ball into the Spurs box rather than take it to the corner in the closing moments, and Sessegnon admits it proved a costly mistake.
"It is really hard for us to take. Overall we should have settled for the point and not tried to win," the youngster said.
"Being at home we thought there was an opportunity to go and win; there was a lack of experience from us.
"It is going to be tough but we have to stick together and try to pick up some points. We know we have not been good enough this season. It is going to be tough but we are going to keep going." Fulham remain 19th, and seven points from safety, after the loss.