Wilfried Zaha appeared to be tripped in the box in the first half, but the referee did not see it as a foul, although he did award the Eagles a spot kick just before for break for a separate incident.
The manager told BBC Sport: "He had a good game and I wish we had him every week. But there were two or three decisions that went against us and that cost us. It was a certain penalty in the first half [for Zaha]."
Palace had led 2-0 at half time, but a late Saido Berahino penalty completed to comeback for the Baggies.