The npower Championship side ran out 3-0 winners at Elland Road to book their place in round three.
U’s boss Wilder felt the home side’s greater cutting edge up front proved the difference, but was encouraged by the way the underdogs stuck to their task.
He said: “That’s the reason they’re near the top of the Championship.
“We had to have a lot going for us to get a result and unfortunately we just fell a little bit short, even though I think it was a touch tighter than 3-0.
“The difference between their quality in the final third and ours was possibly a class apart and that’s why they scored their goals.
“It’s gone very well for us so far this season, we’ve had fantastic performances and great results.
“This was the first time we’ve been up against it and even though it was 3-0, I think the players can be proud because they didn’t die and kept trying to play.”
United handed a debut late on to Daniel Boateng, who signed a six-month loan deal from Arsenal yesterday afternoon.
The 19-year-old’s arrival means Alex Evans, who signed a short-term deal this month, is surplus to requirements and has now been released.
Under league rules, if the Welshman had remained at Oxford after the transfer window closes on Friday he would have been unable to play for another club until January.
Wilder said: “Alex has done great for us and he’s helped us out, but with Dan coming in we won’t be offering him anything.
“I’m sure he’ll find a club to kick his career on, but if he played another week he couldn’t play for anyone else until January.”