Tony Pulis saw his side fall to a 2-0 defeat to Newport County in an FA Cup fourth-round replay at Rodney Parade on Tuesday evening.
The Blues reached this stage of the FA Cup after thrashing Rotherham 7-0 in the third round then sweeping aside Premier League opposition Burnley in the fourth round.
Portuguese Ivan Cavaleiro struck in the second half to win the tie and set up a fifth-round game at Bristol City.
Day had returned after missing the first game, a 1-1 draw at the Riverside, with his wife expecting twins.
Newport manager Michael Flynn revealed the "fully focused" goalkeeper turned off his phone before the match but asked to leave the ground as soon as the 90 minutes were up.
Newport will face Manchester City in the fifth round on February 16th.
"They can match Championship players". I don't know what it is with them.
A penalty appeal for handball by Middlesbrough midfielder Adam Clayton was waved away and 40-year-old Greek goalkeeper Dimitrios Konstantopoulos made a string of saves to keep Pulis' side level at the break. Do you need a lift?'
Meanwhile, Wolves recovered from a goal down to see off League One strugglers Shrewsbury Town, with Ivan Cavaleiro netting the victor in a 3-2 victory at Molineux.
Boro's cup exit was compounded by the fact their flight back to Teesside broke down on the runway, meaning they didn't get back to Rockliffe until 7am by coach.
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