Wednesday's skipper had a header from a set piece which fans and players claimed was a goal but referee Dermot Gallagher waved away the protests - even though the ball looked to have struck a defender's hand before going 'over' the line.
A goal then would have changed the shape of the game but the home side went on to win 3-0.
Coughlan told Footymad: "From where I was looking it looked like a combination of being both over the line and a hand ball, but its come off the defender and the goalkeeper as well but it wasn’t given so you just have to grin and bear it – sometimes you get them sometimes you don’t.
"But I couldn’t conclusively stand here and say whether it was over the line because I don’t really know but there’s no point crying over spilt milk so we have to pick ourselves up and get geared up for a massive game next week."
On the game itself, the Irishman thinks that the score flattered United but Wednesday did not play to their full potential.
He added: "We have played well in the last three games but it wasn’t the best of displays against Leeds. We are obviously disappointed because there wasn’t much between the two teams today – they got a little bit of a break and the first goal could have been called back for a free kick to us, but we didn’t expect anything like that to be given because it was just one of those days!
"If it was at the other end then maybe it may have been blown up but you just have to get on with things and if my header crept in then it’s a different game.
"Maybe one or two of our players gave away silly free kicks when they shouldn’t have, but we have a young squad and it’s hard to criticise them."
Meanwhile, fellow Irishman Richie Partridge added : I don’t think it was a 3-0 game because we battled really hard for the full 90 minutes and I think that they just about did shade it but we have come out of games like that before where we got a point or sometimes all three, like in the Norwich game so yeah we are disappointed. Like I said they did just about shade it but 3-0 is a little harsh on us and we didn’t deserve it.
"For the ‘goal’ it was difficult to see from where I was but there were certainty claims from the boys that it may have been a hand ball or even over the line and it’s difficult to say until we have all seen a replay."
In other news, Wednesday have loaned out David Graham to Huddersfield for the rest of the season because Steve MacLean and Drew Talbot are on the verge of a comeback in the reserves, ironically against The Terriers tomorrow.