The Magpies fell to their sixth consecutive League Two defeat as Colchester United claimed a 2-1 win at the Weston Homes Community Stadium.
Notts now sit one point above the drop zone thanks to Saturday's loss, in which eight of Sheridan's summer signings were involved.
"I've brought a few players in here at the start of the season, and on paper they looked good signings and everyone thought they were the right decisions," Sheridan told the Nottingham Post.
"But now, I've got to question myself - have I brought the right players in, am I picking the right team?
"I've got two weeks before the transfer window opens, and I've got to work very hard to bring the right people in and hopefully I can do that.
"I'm not someone who picks on my players. Whatever I have to say, I say in the dressing room, I don't make it public.
"They know where they stand with me, but if some aren't happy and are not comfortable at the club and with me being manager, they can knock on my door and I'll try and get them out as quickly as I can."
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