Palace dug deep and grabbed the winner in the 98th minute when Murray, despite being close to straying offside, nodded in a Darren Ambrose free-kick.
Ferguson said: "When it went to extra time I thought we must win but it was not to be.
"Obviously the goal was offside - the second goal - from what I have seen.
"We are not getting any luck from linesmen just now but I can't take that away from Crystal Palace. They fought hard to get the result and they deserve it."