Montpellier dumped PSG from the Coupe de France on Wednesday, winning the round of 16 clash in Paris 2-1.
Edinson Cavani had equalised for the Parisians after Daniel Congre gave Montpellier a surprise lead before Victor Montano's goal 20 minutes from time wrapped up the win for the visitors.
Menez claimed PSG was keen to win every competition it started and implored that they must bounce back in Ligue 1 at Guingamp on Saturday.
"Obviously it's a big disappointment - we really wanted to keep playing in the four tournaments and tonight sadly we get kicked out of the Coupe de France," Menez said.
"I think the first half cost us the game because we played well but we were not efficient.
"Then we still had the second half to play but unfortunately we conceded two goals and that made the difference today.
"Now we have to stand up and get ready for Saturday."
PSG midfielder Blaise Matuidi echoed Menez's statements, saying the defeat was a huge blow but called on the side to focus on the league and forget about the loss.
"Yes it's a serious blow, when you lose, it's a blow," Matuidi said.
"We're disappointed because we wanted to win the Coupe de France.
"Now we'll focus on the championship with the next game against Guingamp, to forget about this game."
