Marouane Chamakh's second-half header was all that separated the two sides at Selhurst Park, as Palace moved to within three points of safety.
West Ham were poor going forward, as the ongoing absence of the injured Andy Carroll continues to hurt them.
And Jaaskelainen was annoyed they could not pick up where they left off after Saturday's 3-0 win over Fulham, while also being disappointed that they had conceded a soft goal.
"We put in a great performance on Saturday and obviously we wanted to build on that and carry on, but it was frustrating on Tuesday because when you go 1-0 down you want to have a good response," Jaaskelainen told West Ham's official website.
"You can't go 1-0 up in every game so the response is important - we still had 50 minutes to get a goal and then go on to try and win the game but it didn't happen.
"They hadn't really created any chances up until then (Chamakh's goal), and they've got a new manager who everybody knows is very keen on set plays.
"It was always going to be key for us to be good on the set plays, but we've conceded from one. We have to make sure that we have a good game and a good response at Liverpool (on Saturday) now."
