Olivier Giroud’s fine volley opened the scoring at Selhurst Park, before Palace’s Joel Ward replied with a crisp strike from 20 yards to leave the game finely poised.
However, after Damien Delaney’s unfortunate own goal sealed a 2-1 win for the Gunners, Wickham believes the Eagles should have secured a point at least.
“It’s a frustrating result,” Wickham told the club’s website. “We started the second half well, but they got a lucky goal and now we have to pick ourselves up.
“It was lucky because it could have gone anywhere and unfortunately for us it’s gone in our top corner.
“I think the performance we put in we deserved more, especially with the chances we created which we could have done more with.”
Palace almost took the lead after Wickham smashed an effort off the post – a moment described as the ‘turning point’ by Alan Pardew – but the 22-year-old insists he won’t dwell on the miss.
“If the ball was wet and it had a bit of grease on it then it would go in off the post but it was sticky and it stayed out,” he said.
“It’s just one of those things so I’ve just got to pick myself up along with the rest of the lads and we’ll do better next week and hopefully then I can get my first goal.”