Well, the FA Cup dream is over for another season.
Mind, with Sunderland struggling like mad to stay in the Premier League, perhaps, that isn't such a bad thing after all.
But what did we learn from the 3-1 defeat to Arsenal?
1) Jordan Pickford should be the club's new No 1.
If you just happened to drop into the Emirates for your first ever taste of English football, you'd be forgiven for thinking Pickford was a seasoned pro.
But no, this was his Sunderland debut. Away to Arsenal. And he produced an impressive, mature display beyond his years.
Perhaps we shouldn't be surprised given the amount of first team football he already has under his belt after several loan moves.
Despite conceding three, Pickford was still the man of the match. Producing some fine stops to prevent Arsenal running away with the tie.
He commanded his area well and his distribution was superb. We shouldn't get carried away, of course, but Pickford looks the real deal.
Vito Mannone is expected to play against Swansea City but Pickford is the club's new No 1, it is just a matter of time.
2) A blow to go out the FA Cup but the Premier League is the priority.
You won't find too many Sunderland supporters disappointed to see their side go out the FA Cup. Not this year.
Not with Premier League survival at stake again, with the new £5billion TV deal coming in this summer.
No, Sunderland don't need any added distractions.
And the free weekends when the fourth and fifth round ties are played will give Sunderland a welcome breather.
3) Does anyone still care about the FA Cup?
Judging by Sunderland's performance and the support of the travelling fans then you'd have to say a resounding yes.
Yes, Allardyce made changes. Seven in total. But it is understandable given the tough week on the road facing the club.
Despite the changes, Sunderland still produced a good performance - probably better than in the victory over Aston Villa.
The support off the pitch was even more impressive.
Thousands of Sunderland fans outsung the home crowd and applauded the players off the pitch.
Meanwhile, just down the road in Watford, the Newcastle United players were getting pelters from their fans after their third round exit.
Two very contrasting responses ahead of a return to some crunch Premier League fixtures.
4) Jeremain Lens shows his quality.
We all know he has quality. That has never been in doubt.
What has been in doubt is Lens' attitude and workrate since joining the Black Cats in the summer.
Against Arsenal he was the star man in the opening 45 minutes. He created his opening goal by closing down Kieran Gibbs and Laurent Koscielny and forcing them into a mistake.
The finish clinical.
If he doesn't leave this window - and there is still every chance he will - then Sunderland need more displays like this one from their £8million summer signing.
5) Time for Steven Fletcher and Danny Graham to move on?
Big Sam needs to wheel and deal this window to bring in new faces and freshen up his squad as the club battles the dreaded drop into the Championship.
Money is tight and the club is close to the wages limit for financial fair play regulations. Basically, Allardyce needs to ship out some of the deadwood to improve his squad.
And among the players facing the axe are Fletcher and Graham. Both are out of contract this summer, and there is interest from elsewhere in both.
Blackburn want Graham and Celtic, Fletcher.
Neither particularly impressed against Arsenal and the time has come for them both to move on.
6) Finally, Arsenal must be favourites to win the competition AGAIN.
Arsenal have a decent record in this competition, don't they? Having won it for the last two years, they are on course to make it three straight wins.
That would be some achievement and you wouldn't bet against them.
Arsene Wenger made five changes, resting Mesut Ozil - thank the Lord - while they have several key players to return from injury.
Talk about strength in depth. My money's on Arsenal to make it a hat-trick of FA Cup wins.