United's season ended with a 2-0 defeat at York City, the MInstermen claiming promotion to the National League.
"It's tough. The worst game you can lose, a final," Cox said.
"It's mixed emotions. We did so well (in the play-offs) at Kidderminster and Fylde, but I don't think the performance levels were that today."
Lenell John-Lewis put York ahead in the fifth minute as Boston failed to deal with a long throw.
Number two arrived at the death as Boston pushed men on.
"It was a sloppy goal on our part," Cox said, looking at John-Lewis' opener.
"I don't think it was a throw-in, I thought it was a foul. But you have to defend a ball into your box and deal with the second ball.
"We threw everything at it and left ourselves open (for the second). Disappointed we can't get over the line."
Cox, who took over the club in January, admits he feels a sense of pride his Pilgrims managed to reach the final. But it's too early for the manager to feel anything but sadness at how the season ended.
"I'll never celebrate finishing second or losing," he said.
"But I think we've put a good mindset in place.
"We have to ask questions, why we've just scraped into the pay-offs and why we get to the final and can't get over the line, especially after the two teams we beat in the quarters and semis.
"It's a horrible place when you lose a game like this. I don't want that again.
"I want to make us more consistent, home and away, fitter and stronger."
MORE PILGRIMS: York 2 united 0 - report