The first game on Friday at Kenilworth Road finished 1-1, as Luton only had Sonny Bradley’s close range volley to show for their efforts, going close through James Bree, Jerome himself and Henri Lansbury.
If anything, they had even better opportunities during the return fixture in Yorkshire on Monday evening, but this time drew a blank, the hosts progressing thanks to experienced forward Jordan Rhodes’ clever finish from a Sorba Thomas free kick.
Jerome said: “It’s never nice to lose a game, especially with what’s at stake and we truly believed it was a winnable tie.
“I thought we played well on Friday night as well in the first half.
"It was a game of two halves, our gameplan was magnificent and I thought everyone executed it to a tee, to a man everyone did their jobs, we just couldn’t get that goal and the first goal in a tie like this was always going to be crucial.
"There wasn’t anything in both legs as you could see, probably on the balance of it, we’ve had the better chances to win the tie.
“But football’s all about taking our chances and, unfortunately, we weren’t able to do that.
“It was always going to be the case where whoever scored first was probably going to win the tie.
"We had chances and moments in both halves but we couldn’t quite take it and we’re disappointed in that.
“Coming as late as it did and especially for the home team, they shut up shop then and it was pretty much a difficult task from there on in.”
At the John Smith’s Stadium, an excellent first half from the visitors should have seen them ahead, Bree, Jordan Clark and Robert Snodgrass all having efforts saved by keeper Lee Nicholls, with Allan Campbell deflecting a corner inches wide.
The best chance fell to Harry Cornick though, sidefooting straight at Nicholls from close range after Kal Naismith’s pinpoint cross, dragging another one wide, as after the break, he had an effort beaten away, Jerome also heading off target as did Amari’i Bell.
On the golden opportunity for Cornick, Jerome continued: “It’s unfortunate, it’s great movement from Harry, he’s got great contact on it and the goalkeeper doesn’t know anything about it.
"It hits him flush in the face, those things can happen. It’s an instinctive shot and he’s almost caught it too well.
“Harry’s not to blame for that, we’ve had plenty of chances tonight and throughout the tie to score goals and ultimately if you don’t take those chances, you can be punished and that’s what happened.
“It’s tough speaking about it, but I’m sure looking back, we’ve given as good as we’ve had and we just fell short.
“You see that in the play-offs year in year out, there’s nothing much in it, there’s no advantage playing at home first leg or second leg,
“It’s always going to come down to fine margins.
"Tactically, they’re a strong side like we are, two organised teams who are very good tactically, both have got good managers who are tactically good and can change things.
“It was always going to be decided by a set-piece or a mistake and ultimately it was.
“The boys will pick up the pieces and digest the result, maybe not now, but over the summer and realise what a good job we’ve done.
“It’s always a learning curve football, you’re always learning it gives you that hunger and drive to come back and be there again, because this is where we want to be.
"As a group, as a football club, we want to be involved and trying to break into that next tier up and that’s what it’s about, it is experiences.
“Unfortunately, someone has to lose and unfortunately that was us tonight, but we’re proud in defeat, we’re proud of what we’ve achieved this year.
"We’ll dust ourselves down and go again.
“This is a football club that sets big targets.
"People probably look at it and say they’ve overachieved this year, but that’s up to them.”
Jerome and his team-mates were prevented at the full time whistle of going over to the Luton away end and properly thanking them for their support not only in Yorkshire, but the campaign as a whole, after a pitch invasion by the Terriers fans, and a lack of any sensible stewarding or policing affording them the space to do so.
The forward added: “It’s disappointing, they’ve travelled up in their numbers and with what happened at the end of the game, their fans coming on the pitch, understandably we couldn’t go over.
"We’d just like to thank them for being with us every step of the way and we hope we did them proud in some way this season.
"Hopefully next year we can kick on and give them more moments to cheer.“