In a rainy encounter, the Latics took the lead through Chris O'Grady, but Halifax hit back to equalise and grabbed the winner five minutes from time.
Despite Penney opting to use a number of trialists ahead of his senior players, the former Darlington boss was still disgruntled by the loss.
"I was disappointed with the result and the performance of some of the players," Penney told the club's official website.
"I know what certain players can do, so it was a good opportunity to look at others I know little or nothing about.
"Sooner or later I have to make decisions about them and I needed to see what they could do in match action."