Wayne Rooney's failed effort from the spot at Old Trafford, blazed high over the bar in the 79th minute, leaves United with a record of four penalties scored and five missed for the season so far.
Asked about that after the game, Ferguson told MUTV: "I don't think it is just one of those things.
"I think we have to improve at that.
"If you get a penalty kick, really... there has been talk about (the good penalty record of) Rickie Lambert at Southampton. That is what taking penalty kicks is about.
"There have been several great examples over the years - (former Southampton midfielder) Matthew Le Tissier scoring 47 out of 48.
"A penalty kick is your opportunity to take advantage of a foul or a handball or whatever and score a goal."
The penalty miss made it a night of mixed fortunes for Rooney, who had scored what proved to be the only goal of the game in the ninth minute.
The England striker - back in action after sitting out United's last five matches due to a knee injury - turned in Javier Hernandez's square ball from close range, and after taking the congratulations of his team-mates, then paid his respects to his late sister-in-law, kissing his hands, looking to the skies and raising his arms as he walked back towards the halfway line.
United had chances to extend their advantage but could not take them and West Ham grew into the contest, particularly after the break.