Ryan Sessegnon struck for the 1-0 win for the Cottagers.
Emery said afterwards: "We have lost a really good opportunity, the players did everything we were planning but we needed to be more clinical.
"The match was pretty even - sometimes for us sometimes for them. We created a few chances to score, it was very difficult. They have good players and coach and to beat teams like Fulham is for us something we must work on because that can happen.
"We needed fresh legs, they're tired. The players tried to keep the same game plan we had at the beginning. We had chances with Ollie Watkins, Tammy Abraham but we couldn't get in their box.
"We needed to better occupy the spaces in their box. We did everything we were planning but sometimes we are scoring sometimes not like today. It was a tight match and they score one goal and we lost.
"It's going to be very difficult. My message is the same - keep going, keep trying to get better each week."