Despite Wednesday playing well in spells, Palace, who were relegated from the Premiership last season, looked far more efficient in closing down The Owls and finishing in front of goal.
At the end of the day there were encouraging moments for Sturrock's men but Palace showed Wednesday how they will have to improve to bridge the gap from league one to the championship.
Sturrock said: "We look good going forward but when we get to the opposition box and lose the ball it goes straight up the other end.
"I've got a team of young players who get excited when we've got the ball around their box but they haven't learnt the other side of the game."
This Saturday sees The Owls play at home to fellow strugglers Coventry City and a win is vital otherwise gaps at the bottom of the league will start opening up!