Palace fell 1-0 to the Championship outfit.
Dann told the club's website: “It was really frustrating; always frustrating to lose. In the first half they were obviously the better side but didn't create too many clear-cut chances, just kept the ball better than us at times.
“That second half, I thought we were much better. To create so many chances in the second half and not put them away is probably the most disappointing thing.
“We knew it was going to be a tough game and they kind of settled into it quicker than us, into their stride. We didn't quite get to grips with it, we were giving the ball away a lot in areas. Obviously they started the game a lot better, especially the first 30 minutes.
“I thought we were just getting to grips with them and getting our patterns of play coming into half time and I thought we were a lot better second half, created a lot of chances and like I say, disappointing not to put any of them clear-cut ones away."