Just like everything else that touched that campaign, it is a lie. He's not an idiot. Nor are the people who worked on his campaign. As has been pointed out many, many times in various ways, the polls in all the swing states showed him losing. The compilation of polls showed him losing. And he became very sober in the last week or two, as did his wife. I know I read at least one diary where people on this site were pointing that out.
With all the hype from Fox, the radio big mouths, the unskewed poll people, his followers believed he was going to win. So how would it look if he was honest, for a change, and told them that it was just a show? That he just kept up appearances because people don't waste their time voting for a loser?
So he had to come up with a plausible finale. And "shellshocked" has such a manly, military ring to it.
I call bullshit!