Wales created several chances to take the initiative in Skopje but were punished when the home side struck the winner with just 10 minutes to play.
The game was played on a poor pitch in the Philip II arena and Coleman thought that played a major part in the result.
He said: "The pitch was not great and didn't help the way we play, but we stuck at it and were probably beaten by the pitch at the end of the day.
"They can feel very lucky to get three points.
"Sometimes when you lose and you deserve to lose then at least you can go back and think you could do better but for large periods of the game we were on top and taking the game to Macedonia and had a lot of opportunities."
Coleman was also disappointed with the performance of Swiss referee Sascha Kever, who he thought was too lenient in his treatment of the home side.
He continued: "Nowadays the rules are you can't pull shirts - I'm 60 yards away from both boxes and I can tell you there were a lot of shirts being pulled.
"The referee is closer than I am, why can't he see it?
"There were a few incidents we weren't happy with at all, one or two bad challenges that on another day are red cards.
"But we got on with it, we didn't come for one point, we came for three. We took the game to them and we came away with nothing.
"Unfortunately sometimes in football you don't always get what you deserve."