Rochdale manager Keith Hill hailed his players "magnificent" after Ian Henderson stepped off the bench to snatch Colchester a 1-0 home win.
U's substitute Henderson planted a shot past Dale goalkeeper Owain Fon Williams from close range with four minutes to go and although Dale substitute Jean Louis Akpa Akpro rattled the crossbar late on and Nathan Clarke headed Joe Thompson's effort on to the woodwork, Colchester held out.
Hill said: "I think a draw would have been a fair result. I'd have taken a point. We shaded it in the first half, but they changed their tactics to suit us in the second half, which probably worked to their benefit.
"I didn't feel there was any real trouble, with the respect of conceding a goal. We only conceded a goal because of a mistake and that's unfortunate, because the players have been magnificent.
"There were two good teams on display and it was evenly matched. Colchester have got a great home record and I would have respected that with a point, but unfortunately we've made a mistake which has cost us the game.
"We were a little bit unlucky not to score at the end, but I felt it was a situation where we could probably do a bit better. We've been tremendous all season and tremendous away from home and we've just been unfortunate."