Grant insists that referee Phil Dowd got the decision wrong and feels that television evidence backs up his claim.
But the FA refused to overrule Dowd, leaving Grant without Cole, on top of the absence of injured trio John Terry, Didier Drogba and Frank Lampard and the suspended Ricardo Carvalho.
Grant said: "The referee and his assistant should be honest. He saved the ball with his head, not his hand.
"The referee said that Ashley saved it with his hand, but the television shows he saved it with his head.
"Now they're saying head to chest and maybe touching his hand. So is it an anatomy lesson now? I listened to everybody and they're saying it has maybe gone from his head to his chest.
"It's like an animal, this ball. No. It was clear that he saved it with his head.
"I expected them to say they're sorry, they were wrong. And I'm waiting for the first mistake that will help us, too.
"We will have to think about bothering to appeal in future, if we appeal and it's for nothing"