The Owls are without a win in four matches, but once more Monk thought their football deserved more than it got.
Championship leaders West Bromwich Albion claimed a 2-1 win after Charlie Austin's 88th-minute penalty.
It was harsh on a Wednesday side who were the better team in the second half, when they cancelled out Hal Robson-Kanu's tenth-minute striker with a Steven Fletcher penalty, and who hit the crossbar through Morgan Fox.
But substitute Austin, who headed against the post shortly before scoring the winner, claimed three points for his side. He was given the chance when goalkeeper Kieren Westwood rushed off his line and brought down Matheus Pereira.
“I just sick for my players, really,” reflected Monk.
“To come to the league leaders and play that well – the first half was quite even but in the second half we were the best team on the pitch. To create that amount of chances (the Owls had 15 shots on goal) and not win that game...
“It's three games in a row (after defeat at Blackburn Rovers and a draw at home to Swansea City) now and how we've not won that game, let alone taken a point, is quite astounding.
“It's difficult because at the moment I'm sick for my players but the two main parts of the game are being ruthless and clinical. We had enough chances to totally kill that game and unfortunately we conceded a poor goal at the end. That's three games in a row.
“We've talked about it and we know we can't continue in that way but it's very difficult because if we analyse the whole game, much of that game was exactly what we wanted it to be.
“I feel sick for the players but we'll stick together and take that on the chin and work through it. If we continue to perform like this we have to believe the results will turn for us.”
Cutting out individual errors is a tough task for Monk.
"We've talked about it, we've discussed it, we've trained it, we've shown it, that's all you can do," he said. "It's not through not wanting to do it or not understanding what needs to be done, it's just a split moment where we've made a mistake and we've been punished for it.
"We probably deserved a bit of luck to get away with those moments but we've been punished heavily.
"I'm really proud of the performance. You don't get a much better performance against the league leaders.
"It wasn't just the mistake in the ball going through, it was not dealing with a straight ball from their keeper. I don't think it's game management, I think it's down to individual errors."
Wednesday's afternoon was compounded when Liam Palmer was sent off in stoppage time for a reckless tackle on Grady Diagana. Monk had no complaints at the decision, which will see the full-back suspended for Wednesday's visit of Birmingham City.
Monk's opposite number Slaven Bilic was fulsome in his praise for the Owls.
“We expected this standard of game,” he commented. “I consider it a derby game because I really rate that team.
“They are on the front foot, they are aggressive, they engage, they don't have kids – not age, but mentality – they are physical with enough quality. They are extremely difficult to play against so it was a great win for us.
“In the first half it was not easy for us but I was very pleased. Second half they stepped up a bit and we made a mistake, we gave them the penalty. After that they were physically good.
“They were winning the second balls so we needed a reaction from the bench and we got it. It was a massively important win for us. It's more than three points.”