The Serbs gave the home crowd something to cheer about with a first-half double through Milan Pavkov.
"I'm very disappointed," Thompson winner told talkSPORT host Jim White after the game.
"I'm disappointed in the performance and the attitude, certainly in the first half.
"It's great trying to step it up in the second half, but with the crowd behind Red Star, it made it extremely difficult.
"The first-half just never got going and it's something we have to learn from.
"I would image Jurgen Klopp probably tore them off a strip at half-time, and we were better in the second-half, but we were two goals too late by then."