Smith was unhappy that referee John Beaton failed to point to the spot when John Baird clashed with Killie full-back Ross Barbour after 35 minutes.
"I think it is a definite penalty. Baird's been held back in the area. Anywhere else on the park, it's a foul. So why in the box?" said Smith.
"I thought we did enough to win. We hit the post, had another cleared off the line. We're happy with the performance but just couldn't put the ball in the back of the net.
"I'm delighted for the defence, as they have a hard time but have managed to get a clean sheet. Now it's about building on that and sticking the ball away."
Smith has brought in midfielder Gary Harkins for a second spell with the Dark Blues, but a gentleman's agreement saw him sit out the game with his old employers Killie.
Smith added: "I think we created chances today but obviously Gary has got good ability. Hopefully he will create more and bring others into the game for us."