Antetokounmpo continued his prolific season with a haul of 48 points, 14 rebounds and four assists but could not stop the Mavericks – who were without key man Luka Doncic – from prevailing 120-116.
After a fourth-quarter timeout with three minutes and 13 seconds remaining, the Bucks went 21-9, with Antetokounmpo scoring and drawing a foul with 5.2 seconds remaining.
That concluded a surge towards an unlikely comeback as he missed the free throw to reduce the deficit to three points, but it was 25-year-old forward's all-round game that was the focus of his attention afterwards.
"My dad and my brother always say that to excel and be better you've got to experience adversity," Antetokounmpo told reporters.
"It starts from the leader of the team to the last player. We've got to see what we did wrong.
"I've got to step it up defensively and play way, way better defense to help my team.
"Obviously I want to win, I'm mad about tonight's loss but you've got to take it, learn from it and get better.
"We've got to realise we can lose as a team, we can't win every game. This is going to help us as a team, to bring it every night."
Up next for the Bucks is a mouthwatering clash against the Los Angeles Lakers and Antetokounmpo will be in no mood to take a backwards step when faced with LeBron James and Anthony Davis.
"It's going to be a good game, it's going to be a test for us. We've got to bring it," he added.
"We've got to play good basketball, we've got to move the ball. We don't want to lose two in a row.
"They've got two of the top five players in the world."