The Tigers had hoped to make Long their record signing on Monday, with a £5.5million deal agreed in principle.
No transfer was pushed through before the deadline passed and the Republic of Ireland international remains on the books at The Hawthorns.
Thompson acknowledges that an agreement with the Baggies was reliant on other conditions being met, but is still disappointed to have missed out on a proven Premier League frontman.
"It's enormously disappointing, of course, but West Brom had always made it clear it would be conditional on them doing their own business," he told the Hull Daily Mail.
"They came to the stage late in the day that they no longer wanted to do the deal.
"That's understandable because you look after your best interests as a football club, but it was hard to take coming so late in the day. Everyone I have spoken with since has said 'that's football' but it's still hugely disappointing."
Steve Bruce was able to wrap up a permanent deal for former loan star Gedo before the window closed, but Thompson admits Hull shot themselves in the foot somewhat by focusing too much attention on their pursuit of Long.
He added: "If they (West Brom) had said no right at the beginning we could have looked elsewhere but it happened so late there was no chance of doing anything else. That's up to them.
"Quality strikers do not come along very often and we were hopeful of concluding a deal. If I was in the same position again I would be very sceptical. It's never wise to be in a one-horse race so with the benefit of hindsight we could have looked at other options available to us. That wasn't possible so late on."