Paul Tisdale could not believe his side left Cheltenham without a goal or a point as Jamie Cureton came back to haunt Exeter.
Cureton, twice the Greceians' player of the year before his summer departure, scored the only goal against his former employees but the Robins withstood a second-half pumelling.
Goalkeeper Scott Brown kept out efforts from David Wheeler and Tom Nichols before saving his best until injury time when he denied Liam Sercombe with a full-length save.
Tisdale said: "There were lots of positives there but we need results. We certainly did a lot of the right things but it is all about goals in the back of the net.
"It was frustrating because we have conceded a poor goal although it is hard to criticise when you have created so many chances and hit the target so many times.
"The defence and goalkeeper are culpable for the first goal in the same way as the forwards are culpable for not sticking it in the back of the bet in the second half.
"I thought our supporters were brilliant getting behind the team again - it really makes my job easier when the supporters drive the team on.
"But they scored, we didn't, and we have to march on towards the next game. I can't believe we have lost 1-0 but we did and that's a fact."