The USA international believes Paolo Di Canio's men must learn to be more ruthless after a damaging opening day defeat to Fulham.
The USA international impressed on his competitive debut, leading the line well as Sunderland controlled possession for long spells and tested the visitors' backline; however, a lack of cutting edge ultimately cost Paolo Di Canio's side, as midfielder Pajtim Kasami popped up to head the winner for Fulham seven minutes after the break.
And Altidore felt that it went down as an opportunity missed, with the Swiss midfielder's effort representing Fulham's sole effort on target in the match.
"This is how this league is," Altidore told Sunderland's official website. "One chance, one goal and they go home with the three points.
"We need to do a better job of not giving away anything. It’s difficult at this level, but we need to do better, create more chances and try to bury them.
"This is the best league in the world, and that’s why it can be so cruel.
"At the same time, we have to take the positives away from the game, move on to the next match and try to get three points."
Of his own performance, the American felt that he could still do more, even after a sharp debut.
"I thought I did all right, but there’s always lots of room to improve," Altidore said. "It’s tough to look at the positives when you lose, but I thought we created some chances."