Brede Hangeland claimed a deflected winner with four minutes of extra time remaining at Bloomfield Road after Kieran Richardson had struck late in normal time to cancel out Nathan Delfouneso's opener.
Thompson said: "It was not a nice way to lose, and when it (Richardson's equaliser) is the last kick of the game it is hard to get them going again.
"But it was a great strike. Two of our centre-halves went for the same ball and the ref says as soon as they head it he'd blow the whistle. That was the disappointing thing about it."
Thompson also felt the winning goal could have been prevented.
He said: "You've got to defend your set plays. They put quality in there and if you don't defend them you are going to be punished.
"But I thought we played some fantastic football on a very tricky surface."
Thompson has made clear that he would like to be considered for the full-time managerial post vacated by Michael Appleton last week but chairman Karl Oyston seems likely to move in a different direction.
Thompson said: "It is something I want to be - I am ready to be a number one.
"But it is Karl's (Oyston's) decision. Whatever he does I will support it, whatever role I have at this club."