Oleg Kuzmin netted the only goal of the game after 22 minutes but Coyle believes the Championship club should not have lost their Group D match.
Thomas Rogne almost snatched a second-half equaliser - his header hit the bar - and following the match in Russia, Coyle said: "I was a little bit annoyed in that from our point of view, it was a soft goal to lose.
"But in the second half, we dominated a very good side.
"We certainly shouldn't be leaving here on the end of a 1-0 scoreline. We have hit the woodwork and had numerous chances in the second half.
"In our first foray in European football, I think this was an outstanding performance - we looked like a very mature European team and I was delighted with them.
"My only disappointment is to leave with no points, because we certainly deserved to take something from the game.
"I felt the players were a credit to the football club. We are disappointed but not with the performance - only in terms that we have taken no points and lost our unbeaten record in European football."