However, Lincoln referee Sutton ruled that Small had fouled O'Brien and gave the free-kick to Bradford.
Sheridan said: "The full-back slipped when Small was clean through. Everyone could see it wasn't a foul. If Small had gone on and scored it would have put us back in the game. It was a terrible decision."
He added: "Until their second goal I thought we were the better side. The second goal killed us. We should have done a lot better defensively for the first goal."
"I though we controlled the game in the second half until their second goal. In fact, when they scored their second goal it was the first time they had been in our half since half-time, but we fell away in the last 20 minutes and it could have been four or five."