Amakhosi were eliminated after losing 3-2 on penalties to the Zambian outfit, despite winning the second leg 1-0 at Moses Mabhida Stadium through Bradley Cross's goal.
The result left the tie level at 1-1 on aggregate, with Chiefs failing to capitalise on their opportunities during regulation time.
Da Cruz was left frustrated by his team's lack of ruthlessness in front of goal, insisting that their performance deserved a more convincing victory.
"We dominated all the game, we created a lot of chances. We lost the game on penalties, but we actually lost it before because we created a lot of chances," Da Cruz said in an interview with SABC Sport.
"We only scored one goal, normally we must win this game 3-0 or 4-0."
The Chiefs coach's assessment highlighted the difference between creating opportunities and taking them, with his side paying the price for their failure to establish a comfortable advantage before the final whistle.
Lebohang Maboe, Reeve Frosler and Ethan Chislett subsequently missed their attempts in the penalty shootout, ending Chiefs' hopes of progressing to the next stage of the competition.
Despite the disappointing elimination, Da Cruz rejected suggestions that a lack of confidence had contributed to the result, praising his players for their approach during the match.
"The team played with confidence, the team played with a lot of personality, with the ball, without the ball," he added.
"With what we showed today (Friday) is not an issue in confidence."
Chiefs must now regroup after falling short of their continental objective, with their wastefulness in front of goal emerging as a key lesson from the painful defeat.
Tge club will now try to forget about their failure to reach the group stages of the Confederation Cup and focus on their task, which is the Carling Knockout fixture against TS Galaxy at FNB Stadium on Tuesday.