Brian Flynn told his Doncaster players they must get used to sides raising their game against them after Bury clinched a 2-0 win.
The Shakers moved to within a point of safety in League One after fit-again striker Andy Bishop broke the deadlock at Gigg Lane in the 25th minute and Nicky Ajose doubled their lead 10 minutes later.
And although the visitors piled on the pressure for the rest of the contest, Bury hung on to end Doncaster's 12-match unbeaten away run.
Flynn said his side were now a prized scalp for other clubs in the division.
"Being up there is a huge confidence booster," said Flynn.
"But there's also that added pressure of teams wanting to beat you - and that's what happened with Bury.
"They were desperate, they worked really hard to stop us playing and they wanted to beat us because we're a scalp, and we're going to have to deal with that now we're in the top two.
"I was disappointed to concede from two set-plays. It was unexpected, to say the least, because we don't let that happen very often.
"Second half we had to push the full-backs forward, which let them have one or two opportunities on the counter-attack, but I'm prepared to take risks to get forward and get goals."