Lee Johnson was frustrated after Oldham suffered a Johnstone's Paint Trophy loss to League Two outfit Chesterfield on penalties.
The Latics went in front midway through the first half when David Mellor crossed to Danny Philliskirk, who produced a smart turn and finish for his ninth goal of the season.
But Chesterfield levelled after 28 minutes, with Tendayi Darikwa heading in from close range after Drew Talbot's excellent first-time cross.
With neither team able to grab a winner, the game was forced into a penalty shoot-out.
Talbot fired in the decisive spot-kick after Oldham's Anton Rodgers was denied by visiting keeper Tommy Lee.
Johnson said: "We dominated the second half and had the chances to score three or four goals.
"We couldn't quite finish them and as soon as a game goes into penalties it becomes a lottery.
"We should have had at least one penalty in the 90 minutes but the referee (Kevin Wright) made some poor decisions. He will probably look at himself and say he had a poor day.
"It's gut wrenching to go out. We are so sorry it didn't happen for us because we all wanted to progress.
"We have a reputation as a good footballing side, so teams are coming here to play for a draw and we need to be cute and clever when we face that.
"I've told the players we need to crack on and not be deflated for too long because we still have an awful lot to play for in the league and the FA Cup."