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Amakhosi lost 1-0 to Soweto rivals Orlando Pirates at the weekend, with Oupa Manyisa's extra-time strike ensuring Bucs, last year's winners, retain the trophy and inject R8 million into their coffers.
Tshabalala feels it is vital that Premiership leaders Chiefs, who face Pirates again at FNB Stadium on Saturday, respond with a positive result in Wednesday's trip to Ajax Cape Town.
"It will be important for us to bounce back as soon as possible. We cannot afford to drop our heads as disappointing as it was to lose against Pirates," he told his club's website.
Reflecting on the defeat, he said: "It was a pretty balanced game. We did have one or two opportunities to win it but then as they say, if you do not take your opportunities in football you get punished.
"I also felt there was a gap between our strike force and the midfield. We just have to put this game behind us and focus on the league where we have had a good start. We have Ajax coming up before we can start thinking about Orlando Pirates again next Saturday."
