Tries either side of the interval from Sione Kalamafoni earned the Cherry and Whites victory at Kingsholm, but Diamond was left to rue mistakes from his team.
"We are disappointed and frustrated," he told reporters. "It's always a difficult place to come but it was in the balance right the way through, the lead changed hands a couple of times.
"On the night we could not convert under pressure, we gave the ball away three or four times in their 22 and Gloucester didn't do that and that was the difference between the two sides.
"The missing ingredient at the moment is dealing with the pressure, we do the basics right but then we make simple knock-ons and we need to eradicate that from our game and we will be a good side."
Sale drew 15-15 at home to Newcastle Falcons last weekend.