"I'm confident we can rebound pretty quickly," Lockyer said.
"You certainly don't get in this (top four) position by chance. We've had some pretty good form…and, as disappointing as it is (to lose to the Dogs), we deserve to be in the top four and we're looking forward to another finals campaign.
"We'll have a look at the tape and see what went right and what went wrong then the focus shifts pretty quickly to next week."
Collingwood now meets the Saints on Sunday and Lockyer said the Pies were looking forward to playing the minor premier.
"The one thing about St Kilda this year has been their consistency," he said.
"They've been clearly the standout side as far as defensive pressure goes so it's a big challenge that's ahead of us but certainly something that we'll attack head on."
The Dogs defeated the Magpies by 24 points to claim third place and book a final against Geelong and Lockyer said Collingwood's lack of urgency during the game was disappointing.
"Whether you go out there to play a game of football for four points or for third spot or for a game of tiddlywinks you go out there to win," Lockyer said.
"Against an opposition that was fighting for the same spot, it was disappointing to put up an effort like we did tonight.
"I thought they cut us up a bit through the midfield and were able to run the ball through there with not the greatest pressure applied to them.
"I didn't think our pressure was that fantastic. I thought we were second to the ball a lot and they probably had more numbers around the contest. You'll lose more than you win in that situation."
