Quins, making their best start to a season since 1996, defeated Sale 46-41 and looked capable of recording a total of 60 points or more heading into the last 10 minutes.
However, Sale centre Will Addison took a bang on the head and needed 10 minutes treatment before leaving the action on a stretcher.
O'Shea said: "That's when we switched off. That's when we simply failed to get back to top gear while Sale, credit to them, took full advantage and taught us a lesson.
"Sometimes it's tempting to look at how this type of game finishes and forget what went before. We played some wonderful rugby in very hot conditions and I was thrilled by our style and finishing.
"I'm annoyed we gave Sale two points in the end, but they worked so hard at the end and we simply lost momentum.
"I used all our replacements and took Nick Evans off early in the second half because we need to give Rory Clegg game-time. He'll start our games in the LV=Cup, as will a number of guys in the squad who need to be playing."
O'Shea added: "Sale are a credit to Steve Diamond. They played good attacking rugby right to the end and had us in retreat when, before the stoppage, we were really flying.
"We're five from five yet the players are down. I'm glad. They won't forget this game in a hurry."
Sale executive director of sport Diamond said: "I'll remember the last part of that game for some time.
"Quins are a very good team who have been together some three years, whereas we are a very new-look squad of lads.
"Quins took us to the cleaners in the first half and I had no complaints. They played good rugby.
"But we had a straight talk at half-time, the usual stuff needed when a side requires a bit of a gee-up.
"So we did very well indeed to leave the Twickenham Stoop with two points because not many sides will come here this season and go away with two.
"It was very important that we did not go back up the M6 feeling we hadn't really turned up at Quins, and I see that as a watershed in so far as we could have really capitulated and shipped 70 points. Instead the boys showed great character."
Diamond revealed Addison took a bang to the back of his head and went for an X-ray but was not considered to be seriously hurt, while Sale's England wing Andrew Sheridan had shoulder surgery on Friday and is out until February.
Mike Brown (2), Nick Evans, George Lowe, Mark Lambert and Ollie Kohn scored tries for Quins while Evans kicked a penalty and six conversions and Rory Clegg also kicked a penalty.
Rob Miller (2), Dwayne Peel, Vadim Cobilas, Joaquin Tuculet and Tom Brady crossed for the visitors while Nick Macleod kicked three conversions and a penalty and Miller added a conversion.
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