The Owls head to Luton Town tomorrow night for a third round replay on the back of a hugely disappointing 3-0 defeat at Hull City.
Wednesday were second best to the Tigers and Agnew admitted the poor manner of the side’s display was “a concern”.
However, the 53-year-old is confident a post-match chat with the players has helped clear the air ahead of the trip to Kenilworth Road.
“It was a concern because I did not see it coming,” said Agnew, holding the fort until Steve Bruce’s arrival on February 1, about the loss at the KCOM.
“It was hard to put our finger on (what went wrong). We have watched it back and analysed it. We take that forward into the Luton game. I could not see a positive, other than Keiren (Westwood) keeping us in the game to half-time.
“What we had seen in previous games was a rock solid team shape behind the ball and a threat on the break. But we didn’t show any of that.
“We had a chat with the players and there was a lot of honest feedback. They were disappointed in their own performances. Well below what we expect.
“Ultimately, we can guide the players how we want them to perform but when they cross the white line certain decisions are down to them. They made lots of wrong decisions on Saturday.
“We go again at Luton. That is the best thing after the disappointment of Saturday, to play again so soon.
“A proper English FA Cup tie at Kenilworth Road has the makings of a good fixture.”
Westwood is a doubt with a toe injury sustained in the loss to Hull, while Sam Hutchinson is rated as “50-50” to be fit for the replay along with Joey Pelupessy.