Referee Anthony Taylor reversed his decision to award Burnley a 69th-minute spot-kick after checking his monitor to see Arsenal goalkeeper Aaron Ramsdale had touched the ball before catching Matej Vydra.
"Our record for getting penalties is horrendous as you know," said Dyche.
"I have to say the keeper does get a touch so in theory that doesn't given though you might question whether it was a clear and obvious error.
"But I do get confused. Football changes, the viewpoint changes. Last season, that would have been given. This season, it doesn't get given. In other seasons, that would be a penalty. The referee seemed clear in his mind it was a penalty."
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