I've done the exact same.
Caught the bar and went down into the front squat position and then realized my balance was horribly off. Decided that it would just be safer to sit on my ass than try to front squat when it felt like my entire weight was on the heel of my left foot.
Still a complete novice at the Olympic lifts, but the general gist I'm getting is that it's probably safer to ditch the moment things feel off than trying to get them up.
Unless, of course, you're in a competition and you're on your final attempt or some such. Risk horrific injuries for that gold!