The Welsh side lodged a complaint ahead of the game over the condition of the pitch at the Philip II Arena.
The country's manager told Sky Sports News: "The pitch was not great and didn't help the way we play, but we stuck at it and were probably beaten by the pitch at the end of the day. They can feel very lucky to get three points.
"Sometimes when you lose and you deserve to lose then at least you can go back and think you could do better but for large periods of the game we were on top and taking the game to Macedonia and had a lot of opportunities.
"There were a few incidents we weren't happy with at all, one or two bad challenges that on another day are red cards. But we got on with it, we didn't come for one point, we came for three. We took the game to them and we came away with nothing. Unfortunately sometimes in football you don't always get what you deserve."
The result drops Wales to fifth in their group.