The Blues looked set to earn a stoppage-time spot-kick at Stamford Bridge last night after Patrice Evra brought down Ramires in the box, but Spanish referee Alberto Undiano Mallenco waved play on.
The decision ensured United took a precious 1-0 quarter-final lead back to Old Trafford ahead of Tuesday night's second leg, leaving Chelsea facing an uphill battle to turn the tie around.
Talking point: Patrice Evra (centre right) brings down Chelsea's Ramires in the dying seconds
Manager Carlo Ancelotti questioned Mallenco's 'courage' in failing to award a spot-kick and captain Terry appeared to feel even more strongly about the latest crucial decision to go against his side in the Champions League in recent seasons.
But he said: 'I think the most frustrating thing for the players is that we can't come out here and be honest about it. We would face possible bans.
'We're seeing players receiving bans left, right and centre for speaking honestly after games.
'You guys (the media) lose out, the players can't be honest and we end up walking on eggshells.
'Unfortunately, I can't say more about it but it was a clear penalty.'
Terry, who famously missed a penalty in the 2008 final which would have handed Chelsea victory against United, added: 'Even from 50 or 60 yards away, I could see Ramires got the first touch.
'After the game, we watched it on the video like everyone else.'
United have never lost a European tie after winning the first leg away from home but England captain Terry was adamant the Blues could produce a stunning comeback.
'I can 100% see us turning the tie around,' said the defender, who admitted the home side failed to perform at their best but pointed out they won 2-1 at Old Trafford in the Barclays Premier League last season.
'We're frustrated with the result and losing the game but the manager stressed after the game that it's only half-time and we're right in the tie.
Close call: Evra (left) clears Frank Lampard's shot off the line
'It's disappointing as we were at home.
'We expected a better performance considering we were at home but we've got the quality to go up there and win the game. We did it in the league last year.
'They know we're still in it and we certainly do as well.'
Terry also refused to rule out an even more sensational comeback in the Premier League title race, despite Chelsea falling 11 points behind United, albeit with a game in hand.
He added: 'We're also still in the title race - we realise we're many points away but we've got one of the strongest squads in the league and everybody is now fully fit.'
Goalkeeper Petr Cech meanwhile highlighted how United stand to benefit from an away goal that will inevitably force Chelsea to push forward to at least level the tie.
'When you're losing 1-0 at half-time you can still win the game,' he said after what he described as 'not the best of performances' from Carlo Ancelotti's men.
But the Czech international acknowledged that 'obviously now the result means we allow them to play the same type of game at Old Trafford. They will defend, they will counterattack and they will wait for their chances - which is their main strength and which makes the tie difficult for us.
'We will go there, and have a go.'
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