The Wolves chief spoke of his frustration as the club look to have narrowly as the former Chelsea player looks set to join Fulham.
Wolves had looked set to sign Sidwell from Villa after the midfielder rejected West Ham's approach and was seen at Molineux with Greg Halford for Wednesday's shock 1-0 win over Chelsea but a last minute bid from Fulham changed the scenario.
"Fulham have now come in for him, and, rather than take over his contract which runs to the end of the season, they have offered him a long-term deal," Moxey told the club's official website.
However, the chief executive refuses to be downhearted and has insisted that the club will continue to work on other transfers to improve the squad.
He added: "We move on - we've always said how difficult it is to get players in, especially at this time of the year.
"We never believe a player is ours until he actually signs, so there was no great surprse - although there was disappointment - here because we always knew there were other clubs interested.
"Even after a few days into the window's opening, it's already proving just as difficult as in previous years.
"However, we continue to actively pursue at least two or three potential new signings."Sidwell reportedly favours a move south to be close to his family and Fulham will undoubtedly be favourites for his signature now.