While few gave Redknapp's men a chance at the Emirates Stadium, they were gifted an opportunity when Olivier Giroud's foolish decision to head-butt Nedum Onuoha early in the second half left the hosts - who were 1-0 ahead - down to 10 men.
However, Alexis Sanchez, having scored the opener after missing an early penalty, paved the way for Tomas Rosicky to add a second.
Charlie Austin pulled a goal back from the penalty spot, yet it was an incident in the box later in the game - when Bobby Zamora seemed to have been fouled by Kieran Gibbs - that was on Redknapp's mind when he spoke to reporters.
Redknapp said: "Bobby could not believe he didn't get the decision. It was a penalty for sure.
"The referee had already given two penalties and I don't know why he never gave that one."
Although Redknapp was frustrated by that decision, he also criticised his men for failing to take full advantage of their one-man advantage.
He added: "When they [Arsenal] went down to 10 men there was a great opportunity for us.
"To go two down was a massive blow."
QPR are two points above the Premier League's relegation zone ahead of Sunday's home game against 18th-placed Crystal Palace.
