They were poor in front of goal and paid the price, against a team which looked composed and steady for 60 minutes.
Matt Climie had kept his place in goal after Wednesday's 4-4 home tie with Guildford Flames.
And he was kept busy - and was occasionally flustered - in the early period, against Blaze.
Tim Crowder and Thom Flodqvist both cannoned shots in his direction and in one comic cameo Climie was twice caught out of his net, with Blaze forwards hovering nearby.
But Sheffield held on and Justin Buzzeo and Robert Dowd were creative while Ryan Martinelli wasted a glorious opportunity.
The best chance fell to Josh McFadden, his shot sliding under goalie Miroslav Kopriva, but not reaching the line.
Blaze started the better of the two teams in the middle session; Alex Nikiforuk had a clear skate at goal and then Luke Ferrara shot wide on a breakaway.
Steelers killed a penalty but went behind straight away, Chris Joyaux netting at 28;31.
Crowder should have had another at a time when Blaze were playing a great road game while Sheffield were displaying some pretty desperate hockey.
Buzzeo skated into Stefa Della Rovere, giving his team-mate a head wound - in a period best forgotten.
Sheffield failed on the power play as Blaze continued to absorb the pressure.
Misplaced passes from the likes of Robert Dowd and Josh Pitt didn't help the home effort.
With six minutes left ex-Steeler Ferrara fell heavily, head first, into the end boards, and needed treatment.
Jonas Westerling thought he'd scored at 56;27 - but it went to video review and was correctly ruled out.
And an empty netter from new Coventry boy Flodqvist decided the game.