The Blades failed to reach the stage where the Premier League big clubs come into the competition for the first time since being relegated to League One in 2011.
Defeat means there will be no potential cash windfall early in the new year from a glamour tie and Knill says that could have ramifications when the window opens.
“It will be the same for Bolton,” he said. “If you pull a big tie in the third round then it adds to revenue. We are all looking to strengthen in January and that makes it a little bit easier.
“So, we are disappointed. But, if you ask Phil (Parkinson), I am sure he will say the same and that the league has to be priority. To be up there at the end of the season is our priority.
“Both these sides will be up there come May. If you ask most in this league which teams will be up there, I would imagine them saying Bolton, Sheffield United, Scunthorpe and Bradford.”
Blades contributed fully to an end-to-end Cup tie and Knill felt going out was harsh on the Yorkshire side.
“I felt , on the balance of play, that we were the better team,” he said. “ If it had gone to 3-3, it would not have surprised me. But we just can’t concede like we did. They were three pretty poor goals from our point of view.
“We had a right go, we were in the ascendancy for most of the second half. But we have to move on. Swindon at home next week and that is our focus now.”