Boss Alan Knill was left to rue the extra money a cup run would have brought Bury following their first-round defeat at Aldershot.
First-half goals from Louie Soares and Scott Donnelly gave the Hampshire club victory.
Knill said: "We're disappointed. We could have done with the money in this competition but we will get on with things.
"We never started and I thought for half an hour Aldershot were the better team. But after that I thought we were, especially in the second half although we were obviously chasing the game.
"We couldn't make it count but the players have been fantastic again. I've only got two fit players that I can put on the bench plus three 16-year-olds, so it's pretty tough at the moment.
"It's okay if things are going well but if you're behind, you need strikers on the bench."










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