The Owls Under-18s were narrowly defeated 2-1 on Saturday by Millwall, who hit back from a goal down at Middlewood Road.
Charlie Dawes gave Wednesday the lead from the penalty spot but the Lions hit back with two late goals to take maximum points back to South East London.
Under-18 head coach Steven Haslam said: “Having led until the late stages, it was really disappointing how we finished the game.
“The lads will learn a lot from today about how to close out games and that’s what it’s all about at this stage in the – learning and developing.
“Extra credit has to go to our goalkeeper Joe Wildsmith, who was outstanding today. He made some quality saves and stood out.”