Howe lost his first game since returning as manager at home to Wigan in a third-round replay on Tuesday night and suffered his first league loss at the Banks's Stadium.
The 10-man Saddlers halted the Cherries' 15-game unbeaten league run and completed the double over the south coast club after a 2-1 victory at Dean Court back in September
Howe said: "We never really showed our true colours, but it was a strange game and we had enough chances to score three or four goals.
"It's something we have got to get over quickly and hopefully this was a one-off. If we had defended well we would have won the game.
"The pitch was heavy but no problem. They made a great effort to get the game on."
A 27th-minute strike by Sam Mantom and a Will Grigg penalty on the stroke of half-time gave Walsall a 2-0 advantage.
Brett Pitman pulled a goal back with a header four minutes into the second half and Wes Thomas hit the crossbar for the Cherries before Saddlers striker Febian Brandy was sent off for a second bookable offence after 72 minutes to give Bournemouth a great chance of saving the game.
But a bizarre incident in the 79th minute, when Eunan O'Kane picked the ball up in the area mistakenly thinking Walsall had been awarded a free-kick, handed the home side a second penalty which Grigg duly dispatched for his 10th goal of the season.