Joint assistant manager Kevin Keen believes Albian and not Arsenal should've progressed to the next round of the Capital One Cup.
Albion crashed out on penalties after Craig Dawson and Morgan Amalfitano both fired wide after the game finished 1-1 after extra time.
The Baggies enjoyed the better of the chances but fell behind when Thomas Eisfeld fired the Gunners ahead after the hour mark.
Saido Berahino continued his good form ten minutes later when he headed home Shane Long's cross to send the tie into extra time.
The hosts pushed for a winner with Markus Rosenberg having an effort cleared off the line and Amalfitano hitting the crossbar in extra time before the Baggies were bested 4-3 on penalties.
Keen said: “I think over the 90 minutes we probably just about shaded it and over the 120 we definitely shaded it.“So to come away without going through to the next round is rather deflating – and the lads are disappointed.“We have to pick ourselves up and get ready for Old Trafford on Saturday.“But overall we’re disappointed because we’re out of the League Cup for another season.“The damaging part of extra-time for me was that we had a couple of really, really good chances that on another day you’re finishing every time.“They were chances to win the game but instead we went to penalties and ended up losing the game.“I think on the night we were the better team.”
Source: WBA MAD