Nuno Espirito Santo's team won 3-2 in Turin to edge closer to the Europa League group stages, with an own goal by Bremer added to by strikes from Diogo Jota and Raul Jimenez.
However a late Andrea Belotti penalty after Ruben Vinagre had fouled the striker means it's all to play for at Molineux next Thursday.
Coady said: "It was an amazing game, the atmosphere, it's totally different to the English game.
"I thought we did really well.
"We need to manage the game better because I think we've given them two sloppy goals – not picking up at the back post and then I've been there, where Vinagre was (giving away the penalty).
"It was quite open and from our point of view we didn't really want that, we wanted to manage the game a bit more, especially when we got to 3-1 we wanted to close it up.
"We didn't manage to do that so we'll look at it."
A number of Wolves' players have featured in the Europa League before but the likes of Coady, Romain Saiss and Adama Traore haven't featured on the European stage.
Coady added: "To come to a hostile environment, an environment quite a lot of us haven't played in before – it's credit to where we've come from.
"It was good from that point of it.
"You look at the front lads and the two goals they've scored, Adama setting up Diogo and the way Raul has finished his chance, they're fantastic goals.
"It's only half time, it's nowhere near done, they'll come and have a good go because we've let them back into the tie, if I'm being honest.
"We need to go next week and make sure we perform well again."