PSG, who thrashed Troyes 4-0 in Ligue 1 on Saturday, enjoyed plenty of possession at Geoffroy Guichard but were denied by impressive keeper Stephane Ruffier and the match ended 0-0 after extra time.
"The team were good. I have nothing to reproach the players. We controlled the game for 120 minutes," coach Carlo Ancelotti was quoted as saying in French media on Wednesday.
"It's a performance that gives us confidence for the future. Ruffier is a god keeper, he played a good game but the whole St Etienne team played a good game."
Sports director Leonardo echoed Ancelotti's view, saying St Etienne were the fresher team.
"We controlled this team but we did not score. That's the story of this game. Nothing upset me, there's nothing to say," he said.
PSG travel to Nice in Ligue 1 on Saturday.