Fine goals from Brett Pitman, Anton Robinson and Mark Molesley gave Bournemouth a far more comfortable away-day win than they ever could have imagined.
And Knill said: "It is the heaviest defeat that I have had here. I am feeling a little shell-shocked and incredibly disappointed for everybody.
"A 3-0 defeat at home doesn't lie. They were better than us at both ends of the pitch and this is a wake-up call for us.
"It shows us that there are plenty of things for us to work on. But you don't panic after one defeat."
The Shakers, who missed out on promotion by just a point last season, struggled with their passing and looked a tad off the pace all over the pitch and a vast improvement is needed if they are to stand any chance of upsetting Championship giants West Brom in tomorrow's televised Carling Cup first round tie.
Bury started brightly enough and were unlucky that Ryan Lowe's curler into the far corner was chalked off for off-side in the seventh minute.
It was a touch and go decision but there was no debate about the quality of Bournemouth's opening goal - a pile-driver from Pitman - and the die was cast.
BURY: Brown 5, Scott 5, Buchanan 5, Futcher 4, Dawson 6, Carlton 5, Barry-Murphy 4, Racchi 4 (Worrall 55mins, 6), Jones 6 (Johnson 86mins, 5), Lowe 6 (Rouse 74mins, 5), Sodje 5.
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