But the Swans head coach also recognised there was enough fault in his own team’s patchy performance not to heap all the blame on the official for two points dropped.
Sheehan and home supporters were left understandably outraged when Zan Vipotnik - scorer of the Swans’ goal - appeared to be pulled back in the goalmouth by Millwall captain Jake Cooper, just as the Slovenian was about to pull the trigger.
Whitestone waved away all appeals, leaving Sheehan to complain: “It was a stonewall penalty – I don’t know what else to say.
“These are the decisions (we are getting) right now. We had one last week and now this one.
“When the league is so tight, with teams from the bottom beating sides at the top, these are the games in which you want to keep accumulating points, so it’s a decision I feel the referee got wrong.
“You have to give referees 30 minutes after the game before speaking to them and so I’ll be asking him why he got it wrong.Â
“Unfortunately, it’s gone now and we don’t want to be a team that is unlucky and whingeing about decisions and we know we need to be more clinical in the final third.
“We were very good for large parts of the first half and then got the goal. But we conceded a set-piece on the stroke of half-time that we didn’t defend properly.
“We’ve got to find a way of getting that second goal.”
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Sheehan was right to guard against too much protesting, although the Swans might also have had an even later penalty when Marko Stamenic was shoved over as he contested a header.
Like the earlier foul, it would most likely have been given in the Premier League after VAR review.
Those calls would have mattered less had the Swans been able to capitalise on their early dominance.
Ronald was superb for the opening 15 minutes or so - as the Brazilian often is - before he fades gradually into anonymity.
This time he helped set up Vipotnik’s flicked opening goal - the Slovenian striker’s seventh in nine matches this season - and it appeared a comfortable home victory was likely.
But Sheehan’s side already have a bad habit this season of switching off just before half-time or full-time whistles and they did so again before the break.
Millwall pumped a free-kick to the far post, Cooper headed across goal, and Millwall scorer Josh Coburn was more alert than any Swansea defender.
After that, Ronald, Vipotnik and substitute Adam Idah had their opportunities but were unable to take them in a mostly scrappy second-half.
It might have ended worse for Sheehan, had skipper Ben Cabango not stood tall to block  Macaulay Langstaff’s effort when home keeper Lawrence Vigouroux had been floored.
The draw leaves the Swans back in mid-table and for all the optimism around some of their displays so far this season - plus the encouragement of a successful transfer window - they have so far only won two of their seven Championship matches.
“In the first half, we were very good for large amounts,” added Sheehan.
“I think we got the goal when we were on top and then we continued to try and get the second one, and then right on the stroke of half-time we conceded the set-piece.
"These are the things you've got to do properly against Millwall.Â
“You know the percentage of goals, what we've got to negate, to come out on top. We didn't defend that properly.
"In the second half there were a lot of stoppages, but I think we had control of possession, created some opportunities.Â
“It's really fine margins. We've got to find a way of getting that second goal."
Lions boss Alex O’Neil reckons his team’s graft and gutsy attitude meant they fully deserved their point.
“Swansea hadn’t been beaten in 10 games at home in all competitions before we came here and it was a tough game against a good side that is well coached,” said O’Neil.
“Resilience is important and you need to see things through when other teams are playing well.
“We finished last season very well and so the expectations were sky high coming into this campaign.”Â
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