Sean O'Driscoll's men found themselves 3-0 down at half-time before Baldock's brace and Jay Emmanuel-Thomas's free-kick drew them level.
Coventry edged in front once more before Marvin Elliott equalised again with six minutes left to play.
Robins hearts were broken when Billy Daniels notched a late winner, but Baldock insists his side will learn from the defeat and come back stronger.
He told the club's official website: "We showed as a group we could gather our thoughts and work on a game plan in the second half, however a little bit of naivety at the end cost us a point.
"The manager and Pembo (John Pemberton) want to focus on the positives. Coming into the dressing room shouting and screaming isn't going to get us anywhere because we will go out next time angry and disjointed.
"I can't put my finger on what went wrong in the first half. We had a really sharp warm-up and everything was looking good.
"However, a couple of mistakes at each end of the pitch cost us. I felt I should have scored at least one (in the first half) and we weren't playing the usual style of football we have done in the previous weeks.
"It is going to be a massive learning curve all over the pitch but there are as many positives as there are negatives.
"We are a young squad who are developing together and there is so much we can learn from that game, but no one wins anything in the first couple of weeks, so we are staying positive."
- Sports & Recreation