England, chasing 273 for victory, collapsed from 100-0 to 164 all out as Bangladesh claimed their first Test victory over the visitors.
"With the atmosphere of the crowd and men around the bat, it is really difficult," Cook told BBC Radio 5 live.
"To do well here you have to be able to handle and repel that."
Cook put on 100 runs Ben Duckett, who made an aggressive 56 before becoming the first wicket to fall in a frantic evening session.
England's collapse was the third worst by any team who have been 100-0 in Test history.
"Maybe we showed our inexperience, in one sense, in sub-continent conditions in terms of batting," Cook added.
"I was just looking around the dressing room at how much cricket people have played in the sub-continent and it is not a huge amount.
"I don't think we should have been chasing 270. We bowled OK but there were chances that we needed to take."
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Cook, who will take the same squad to India for a five-Test series beginning on 9 November, said he has "thinking to do" about the make-up of his side.
"You try and pick a team to win the game and we know we are underdogs going into that India series," he added.
"I'm really glad that we came to Bangladesh and that it was the cricket that's done the talking, not the security. You saw what cricket means to the Bangladeshi people."
Bangladesh had not played a Test since August 2015 before England's arrival after Australia postponed their tour in October 2015 over security concerns.
"We are getting in there but hopefully if we play more Tests I think there will be more good results coming," captain Mushfiqur Rahim said.
"Hopefully the ICC and the boards will send us a couple of series against the big boys."
"The next challenge is our overseas form. We have to adapt really well because you can't get home conditions everywhere."
Ben Stokes has been fined 15% of his match fee and handed one demerit point for breaching the ICC Code of Conduct during the final day's play.
The incident happened during the morning session when Stokes ignored the on-field umpires' repeated requests to stop sledging Bangladesh batsman Sabbir Rahman.
England captain Alastair Cook blamed inexperience for England's batting collapse during their 108-run defeat by Bangladesh in the second Test in Dhaka.