Trailing 2-1 to Dagenham, they were awarded a penalty in the final minute of stoppage time after Ashley Vickers brought down U's striker Fola Onibuje.
But the pressure of trying to extend the home record to a dozen league matches proved too much for winger Courtney Pitt.
He stepped up in front of the bank of home supporters but hit his spot-kick far too close to Daggers goalkeeper Tony Roberts, who was able to make a comfortable save.
It was the second penalty of the match and the second stop by a keeper, but unfortunately Cambridge's Scott Howie moved off his line before diving to block Chris Moore's kick in the 55th minute.
The referee ordered a retake and Moore made the most of his second chance, blasting the ball high inside the right hand post.
Dagenham's lead was short lived, as four minutes later a pinpoint corner from Jon Brady found centre-back Mark Peters, who rammed a close-range header home.
The second half had already produced more action than the entire first 45 minutes, which contained only one real goal attempt - a thunderous 25-yard free-kick from the visitors' Sam Saunders which Howie tipped over the bar.
Cambridge looked more likely to get the vital second goal when Pitt hammered in a 20 yarder in the 75th minute, but Roberts emulated Howie by flicking the ball over the bar.
Four minutes later Dagenham clinched victory with a slightly fortuitous goal when Moore's wayward header suddenly turned into a perfect assist for Paul Benson, who was in the right place to lob the ball inside the far post from five yards.