Graham Poll pointed to the spot in the 39th minute as Ledley King attempted to prod the ball away from Alexei Smertin.
Frank Lampard slotted home and that was all that separated us until Lampard struck again in injury time.
"I didn't think it was a penalty," said Head Coach Martin. "It was easier for us because we could look at it again at half-time and then after the game and maybe from the referee's angle it was different.
"You can see that he (Smertin) stamped on his (Ledley's ) foot and went over so it wasn't a penalty, simple as that.
"Ledley came in for a tackle but he couldn't tackle because he was quick.
"It was difficult for the referee because he had another angle but I've seen the replays on Sky and it was a clear situation - no penalty.
"It was a shame because it's the second decision against us in a week and they've perhaps cost us four points. I said after United 'you win some, you lose some' but maybe I'll have second thoughts about that "
Martin Jol was left in little doubt that the key penalty decision went against us in Saturday's 2-0 reverse against Chelsea.