The Brazilians suffered a shock exit from the continental competition at the hands of Angolan debutants Wiliete SC.
After being held to a goalless draw on the road, the 2025/26 Champions League winners drew 1-1 with Wiliete at Loftus Versfeld last week, to be eliminated on the away goals rule.
Downs are next in action against Marumo Gallants in the Carling Knockout Cup, and Matthews has called on the club to produce a winning performance.
Speaking to the club's website, the former Borussia Dortmund winger said: "We have to look forward to the next game. The next one is the most important one that we have. We have to overcome this and get back to winning ways.
"We have to get over this feeling by winning a game and just continue to win from there. I don't think it will take it (CAF exit) away.
"But it will just make things feel a bit better than what they are. I don't think it's about revenge (against Gallants); we just have to go there and win against whichever team we play against."
Despite their CAF Champions League exit, Sundowns still have the Betway Premiership, Nedbank Cup, Carling Knockout Cup, CAF Super Cup and FIFA Intercontinental Cup to play for this season.
"I think after the Wiliete game, we have to reflect, but it's also important that you take a step forward and continue," Matthews added.
"It's very difficult to get over what happened, but at the end of the day, you have to take the step forward. You have to continue because there are more things to be won.
“Yes, that is the biggest trophy to win in Africa, but we still have a lot of trophies to look forward to winning.”