AFC Wimbledon boss Neal Ardley declared himself proud of his players despite the 2-1 defeat to MK Dons.
The highly anticipated tie was settled late on by Jon Otsemobor's strike, which came after Jack Midson had cancelled out Stephen Gleeson's opener.
Ardley said: "I'm proud of the way we've handled the week. This moment that our fans have dreaded has come and gone and it's turned into a celebration of how far this club has come.
"From the fans' point of view I don't think they will ever forget (about the relocation). But I think it's a milestone for them that they've got this out of the way, the first ever one in a big cup competition.
"This was the first time, the more you talk about it the more you realise globally it's one of the most unique games there is because this is a situation that never has or never will happen again."