It was the second time England had suffered such a fate against the Windies, after they were knocked out of last year's World Twenty20 at The Oval in similar circumstances - a fact not lost on Collingwood.
"It's the second time it's happened to us now against West Indies, so it is very frustrating - because we've played a near perfect game but we've lost," he said.
The skipper, though, turned his attentions to their final Group D match against Ireland at the same venue in Guyana on Monday, which England must win or hope for a no-result to progress on their superior run-rate.
"We've got to win, it's a pressure game, but we can take a lot of belief out of today, I think we even did well with the ball there," he said.
"I think the bowlers did pretty well to get it down to the final few balls with that kind of equation.
"We'll try to take the emotion out of it, we're disappointed but we've got to win."
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