The Rovers boss apologised for some of his decisions for the game, which saw him move to a back three in order to match up and nullify the League One leaders.
Rotherham ran roughshod on the night and strolled to a 5-0 victory which left Rovers 11 points adrift of safety as they head to Sunderland this weekend.
McSheffrey admitted the defensive-first approach did not work and has pledged to go on the offensive once more, having seen improvement from Rovers when doing so in recent weeks.
“You do a few things to try to tweak things but it’s not worked,” he told the Free Press.
“I have tried to nullify and match how they play rather than continuing and building on the positive things we have been doing.
“I felt certain changes needed to be made because we concede goals from similar areas and certain give aways of possession.
“You try to do a few things and it bites you on the bum.
“So we will go back to the positive play that we’ve done over the last four or five games.
“The lads knew the run of games that we’re in currently and they’ve done it against good teams already.
“All we can do is learn from tonight, take it on the chin, deal with it and accept what comes our way. Then we need a performance and reaction on Saturday.”
McSheffrey insists his players must stand up to the challenges ahead as their tough run of fixtures continues, with four of the next five matches against top half sides.
He said: “It’s a ruthless industry. You can protect them but sometimes change just needs to happen.
“We need freshness in personnel and then you hope the challenge for places brings better quality out of them.
“Some go the other way, can’t handle a challenge and then their performance levels get worse.
“It sieves out the good players from the poor players, the men from the boys and that’s what adding to the squad does.
“It’s got to be competitive and you can’t just expect to keep your place when we’ve been bottom of the league for most of the season.
“We have competition for places and you need to perform every game.”