Summer signing Sagna endured a losing debut as the champions slipped to a shock 1-0 defeat against Stoke at the Etihad Stadium after a brilliant Mame Biram Diouf goal.
Diouf scored a superb solo effort, breaking from deep inside his own half following a City corner and racing to the opposite end to shoot through Joe Hart's legs.
Yaya Toure had City's best chances, hitting the bar, testing Asmir Begovic, and controversially being denied a penalty.
The result checked what had been a solid start to the campaign for City with back-to-back wins over Newcastle and Liverpool.
Right-back Sagna, who arrived on a free transfer from Arsenal, said: "It is very disappointing because we wanted to win, especially at home.
"We knew it was going to be a very hard game
We had to be patient and make no mistakes but on the counter-attack we got caught.
"We have to learn from this and look forward because this is only the beginning of the season and we have to keep working.
"I wish I had won my first game
I am very sad but tomorrow is another day.
"I am going to work hard to bring something different to the team, to bring this team up and be champions at the end of the season."
City failed to get into full flow and were lucky not to concede a penalty in the first half when Aleksandar Kolarov appeared to trip Diouf.
They only started to show real urgency after Diouf sprinted most of the length of the field to score his first Stoke goal just before the hour.
But the Potters defended well and will feel Toure's failed penalty appeal - when he appeared to be caught by Erik Pieters but was booked by Lee Mason for diving - evened out the earlier Diouf decision.
City face a tough eight-day spell with games against Arsenal, Bayern Munich and Chelsea when they return to action after the international break in a fortnight.
The Arsenal clash could throw particular focus on Sagna, following the controversy over his move from the Emirates Stadium, but he claims that will not bother him.
"To me it is going to be a normal game," the 31-year Frenchman told City TV
"Of course I played a long time with Arsenal but I am a City player now
I just want City to win the game and perform."
While City head into the international break on a low note, Stoke have lifted spirits after claiming their first win of the season.
Mark Hughes' men were beaten by Aston Villa in their opener and then held to a draw by 10-man Hull but the prize of such a major scalp should fuel their confidence.
Goalkeeper Asmir Begovic said: "It is very pleasing
It could not have gone any better
We came with a good game-plan and executed it to perfection.
"When you put that kind of work in you are going to get some rewards
We took our chance and got the three points, which is what we needed.
"Obviously we would have liked to have to have had a few more points at this stage, but we kept believing, we stayed confident.
"We knew the quality we had in the team and that it would come through at some point.
"Hopefully we can push on now and string a few good results together and push ourselves up the table."
Begovic was also pleased to see former Manchester United forward Diouf, who signed on a free transfer from Hannover, open his Stoke account.
He said: "We have seen the quality he has in training
We believed in him
The best thing about him is he is a good guy and he works so hard
"We are all pleased for him to get the goal
He deserved it for all the work he puts in
Hopefully he gets some more."
Source : PA
Source: PA