Sakho struck in the 88th minute to gain West Ham maximum points in a 1-0 victory, although the game was largely devoid of quality - especially after the break.
Both sides created chances prior to the interval, with Advocaat left to lament the late winner as Sunderland remain perched one place above the Premier League relegation zone.
"I am happy with the effort," the former Netherlands coach told BBC Sport.
"We had a discussion about that - how to show our fans what we can do, and if you work you get results.
"It is hard to play against West Ham with long balls, but we didn't give a way of lot chances.
"They are a good side, with some good players, and we had also some opportunities to score and I did not expect them to score in the 88th minute, that was really disappointing.
"We deserved the result as well."
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