The long-time Liberal seat in Sydney's east, which was vacated by former prime minister Malcolm Turnbull, is now in the hands of independent Kerryn Phelps after she defeated Liberal Dave Sharma.

Former Liberal leader John Hewson says the defeated party needs to rethink and completely reset.

"You can't keep drifting to the right and think you're going to win an election," Dr Hewson told ABC TV on Sunday.

"You have to get back to centre ground."

Dr Hewson, who held Wentworth from 1987 to 1995, said Saturday's results marked the biggest by-election loss in Australian history.

While he believes the best strategy for the now-minority Morrison government is to go through to the next election, he noted voters were fed up with the "self-absorbed, game-playing, point-scoring" behaviour.

"That sort of focus in our political debate has done all the damage," he said.

"There's a very big message there that you've lost touch with the electorate in that seat and I believe more broadly."

The knifing of Mr Turnbull as prime minister also played a part in the by-election result, with senior Liberals saying voters "punished" the party for the way Mr Turnbull was dumped.

"The fundamental driver of this vote was really the manner in which Malcolm left office," Mr Sharma told Network Ten on Saturday night.

"You heard that from every voter on the street."

Treasurer Josh Frydenberg said the coalition had been sent a message in Wentworth but would "cop it on the chin".

"We were punished. Absolutely. The public in Wentworth were angry," Mr Frydenberg told Sky News on Sunday.

"What we saw was their popular local member and the prime minister of Australia lose his job and we were punished for that.

Liberal MP Jason Falinski said Mr Turnbull's absence from the campaign hurt Mr Sharma.

"I don't think we can deny that if Malcolm had been more public in his support for Dave that that would have had an impact," he said.

But Mr Sharma said the former prime minister had been through a "bruising" experience and had offered the support he could.

Prime Minister Scott Morrison promised the government would be back at work and "great days" were ahead.

Australian Associated Press