Liam Buckley said the game's big call didn't go their way as they were beaten by Dundalk in the semi-final of the Extra.ie FAI Cup on Sunday.
It looked as though The Bit o' Red were going to force a replay next week at Oriel Park before Michael Duffy scored a very late winner for the treble-chasing visitors.
The Lilywhites were on top for large parts of the game, but Buckley says his team should have had a penalty in the first-half.
"The crucial factor for us was the penalty incident for us in the first-half," he told the RTÉ Soccer podcast.
"For me it's a penalty. I know they'll say it wasn't a penalty; it is a penalty. He's kicked him. There's enough officials here to see that.
"If that goes the other way it can be a different game. That's what I said before the game, you do need a little but of luck.
"Another day a referee gives it, you score, you go 1-0 up. We're quite difficult to beat when we're leading. That said, look it was the referee's decision. He's seen it a different way."
Should Sligo Rovers have been awarded a penalty for a foul on Coughlan? pic.twitter.com/N9pScIrHJE— RTÉ Soccer (@RTEsoccer) September 29, 2019
Sligo hadn't been to the FAI Cup final since they won it in 2013, but they were dealt a blow early on when Romeo Parkes got injured.
Buckley said he felt his team held their own, but that they'll be trying to move past the defeat quickly.
"It was just unfortunate the way he twisted his knee, and it was quite sore for him," the Sligo manager confirmed.
"They're a quality outfit, in fairness, Dundalk. They're league champions for a reason, they're the best team in the country.
"That said there wasn't a huge amount in the game, I didn't feel. Rovers huffed and puffed, and they had one or two chances. I had seen it petering out to a 0-0.
"Overall, we're disappointed with today because you're literally a result away from playing at the Aviva. From a league perspective, we still have four games to go and we're nine points behind Bohemians.
"With four games to go, if we could pick up a few more points, just see where we go with that, and hopefully we can finish off the season well."