Brentford boss Thomas Frank was relieved to see his team win on penalties in midweek.
The Premier League club were made to work hard against Sheffield Wednesday.
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However, they did progress to the quarter-finals of the Carabao Cup after a 1-1 draw, winning on penalties.
"It is one step closer to what we want to do, we want to go all the way," Frank told Sky Sports.
"Our mentality was great, the players worked hard. It was more (an issue with) quality."
Brentford next take on Fulham in the Premier League away from home on Monday.