WBA conceded a controversial penalty late on which saw Chelsea clinch an undeserved 2-2 draw.
"I feel distraught that we haven't won that game, especially with the way it happened," said Myhill to the WBA website.
"I would have been more than happy if they'd done something spectacular or if they'd broken us down.
"We did everything we needed to do to win and that's what makes it more difficult to take. As a team we're bitterly disappointed to have not won the game.
"But we have to take it on the chin and move on."
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