After a relatively poor first period, the home side improved in the second half and missed a couple of decent chances.
As the game entered the final stages, West Ham had one or two opportunities themselves but it ended goalless and Laudrup thought it was his side who should have won the match.
Speaking after the game, Laudrup said: "I think we deserved more. Jaaskelainen made two or three fantastic saves, and you can't do anything about that.
"I knew it would be very difficult because they had huge success playing like this against Tottenham.
"We knew they would play with six in midfield - without a striker - and it is difficult to play against.
"As well as the counter-attack, they are also good from set-pieces, so they caused us some problems in the first half from these.
"But even without playing at our best, we controlled the game. They were very deep.
"In the end, because of two or three great saves from Jaaskelainen, they got what they wanted."
Swansea were also denied a late penalty after the ball appeared to strike the arm of Joe Cole inside the area but Laudrup said that it was just one of those days for his side.
Laudrup added: "There was a lot of emotion at the end about the penalty not given.
"The referee or the linesman has only one second to see it, but the linesman was in a good position.
"When a player has his arm up and the ball touches it, normally it is a penalty. However, it is done, and we move on."
Swansea will now start to prepare for the first all-Welsh Premier League encounter with Cardiff City.