Kompany slammed UEFA for their decision to exclude the City supporters from the stadium, after ordering CSKA to play the game behind closed doors following a series of fan-related offences.
However, Koeman thought that the Belgium international was using the circumstances as an excuse after letting a two-goal lead slip in Russia.
"You can't say that about UEFA and the sponsors," Koeman told Sky Sports News. "At half time, you are winning 2-0, and you are Manchester City. You can't blame that on a sloppy second half, you have to kill the game.
"Maybe it is a feeling of the player, but after 2-0 you can't make a discussion about UEFA or the sponsors, you always have to look for yourself and to your team, and they were the problem.
"OK, you can discuss about the [CSKA] penalty, but they let it through until the last minute and haven't killed the game, and maybe that [result] will be fairly costly for them now."
Elsewhere in the group on Tuesday, Bayern Munich hammered Roma 7-1.