With the Eagles drawing 2-2 with Bournemouth, the Belgian striker had a chance to snatch victory for his side in the 93rd minute.
Benteke took over penalty duties from Luka Milivojevic, who had earlier converted from the spot.
"After the game I didn't say much to him at all because I think it was a raw moment in particular for him, because he was very disappointed that he had taken the responsibility and not been able to deliver," Hodgson said when speaking ahead of Palace's game with Watford on Wednesday.
"But I've spoken to him today and he's spoken to the rest of the players and as far as I'm concerned it's an unfortunate incident, mostly because as a coach, when you designate a penalty taker, that's the guy that takes it but these things do happen in a football match.
"The fact is he was very confident; he played well in the game. He felt very confident that he was going to score that penalty and he persuaded Luka to let him take it and Luka accepted that.
"This is something which happens when you work a long time with football players - it's not the first time I've come across that type of situation."